An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
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The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we
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美国国家经济研究局创建时间：
2008-11-01
