IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Nelson and Siegel, no-arbitrage and risk premium

Listed author(s):
  • Le Grand François


    (Paris Jourdan Sciences Economiques (PSE))

Registered author(s):

    In this paper, I propose a term structure model which bridges the gap between affine no-arbitrage model and Nelson and Siegel one. My model outperforms significantly in fitting the yield curve, in rejecting the expectation hypothesis and in out-of-sample forecasting. The second point helps to understand the market expectations and is particularly important for portfolio management (of assets or debt securities), whereas the last one is of major interest in monetary policy. In a simple mean-variance framework, one-month returns with my model are more than 70 basis point greater than with standard Nelson and Siegel. Moreover, no-arbitrage constraints do not affect the usual advantages of Nelson and Siegel. My model is indeed as tractable and as parsimonious as the standard Nelson and Siegel one

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 270.

    in new window

    Date of creation: 04 Jul 2006
    Handle: RePEc:sce:scecfa:270
    Contact details of provider: Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:270. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.