The affine arbitrage-free class of Nelson-Siegel term structure models

被引：192

作者：

Christensen, Jens H. E. ^{[1
]}

Diebold, Francis X. ^{[2
,3
]}

Rudebusch, Glenn D. ^{[1
]}

机构：

[1] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA

[2] Univ Penn, Philadelphia, PA 19104 USA

[3] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF ECONOMETRICS | 2011年 / 164卷 / 01期

关键词：

Yield curve; Interest rate; Bond market; Factor model; Forecasting; YIELD CURVE; PREMIA;

D O I：

10.1016/j.jeconom.2011.02.011

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We derive the class of affine arbitrage-free dynamic term structure models that approximate the widely used Nelson-Siegel yield curve specification. These arbitrage-free Nelson-Siegel (AFNS) models can be expressed as slightly restricted versions of the canonical representation of the three-factor affine arbitrage-free model. Imposing the Nelson-Siegel structure on the canonical model greatly facilitates estimation and can improve predictive performance. In the future, AFNS models appear likely to be a useful workhorse representation for term structure research. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：4 / 20

页数：17

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