Affine Nelson-Siegel model
We introduce a discrete-time version of the dynamic yield curve model proposed by Diebold and Li (2006) which is based on Nelson and Siegel (1987). As in Christensen et al. (2010) we found an affine process that matches the model.
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- Francis X. Diebold & Canlin Li, 2003.
"Forecasting the Term Structure of Government Bond Yields,"
NBER Working Papers
10048, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
- Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Diebold, Francis X. & Li, Canlin, 2003. "Forecasting the term structure of government bond yields," CFS Working Paper Series 2004/09, Center for Financial Studies (CFS).
- Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1998.
"The Central Tendency: A Second Factor In Bond Yields,"
The Review of Economics and Statistics,
MIT Press, vol. 80(1), pages 62-72, February.
- Pierluigi Balduzzi & Sanjiv Das & Silverio Foresi, 1996. "The Central Tendency: A Second Factor in Bond Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-12, New York University, Leonard N. Stern School of Business-.
- Pierluigi Balduzzi & Sanjiv Ranjan Das & Silverio Foresi, 1997. "The Central Tendency: A Second Factor in Bond Yields," NBER Working Papers 6325, National Bureau of Economic Research, Inc.
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007.
"The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models,"
NBER Working Papers
13611, National Bureau of Economic Research, Inc.
- Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, vol. 164(1), pages 4-20, September.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The affine arbitrage-free class of Nelson-Siegel term structure models," Working Paper Series 2007-20, Federal Reserve Bank of San Francisco.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," PIER Working Paper Archive 07-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
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