000			02206cam a22003497 4500
001			w14463
003			NBER
005			20211020111640.0
006			m o d
007			cr cnu||||||||
008			210910s2008 mau fo 000 0 eng d
100	1		_aChristensen, Jens H.E. _929898
245	1	3	_aAn Arbitrage-Free Generalized Nelson-Siegel Term Structure Model / _cJens H.E. Christensen, Francis X. Diebold, Glenn D. Rudebusch.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2008.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w14463
500			_aNovember 2008.
520	3		_aThe 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 show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aG1 - General Financial Markets _2Journal of Economic Literature class.
690		7	_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class.
700	1		_aDiebold, Francis X.
700	1		_aRudebusch, Glenn D. _919861
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w14463.
856	4	0	_uhttps://www.nber.org/papers/w14463
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w14463
942			_2ddc _cW-PAPER
999			_c333659 _d292221