The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
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We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our
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美国国家经济研究局创建时间：
2007-11-01
