The affine arbitrage-free class of Nelson―Siegel term structure models
- Author
- CHRISTENSEN, Jens H. E1 ; DIEBOLD, Francis X2 ; RUDEBUSCH, Glenn D1
[1] Federal Reserve Bank of San Francisco, United States
[2] University of Pennsylvania and NBER, United States - Conference title
- ANNALS ISSUE ON FORECASTING
- Conference name
- Forecasting in Rio (Rio de Janeiro 2008-07-29)
- Author (monograph)
- ISSLER, João Victor (Editor)1 ; LINTON, Oliver (Editor)2 ; TIMMERMANN, Allan (Editor)3
[1] Graduate School of Economics-EPGE, Getulio Vargas Foundation, Brazil
[2] London School of Economics, United Kingdom
[3] University of California, San Diego, United States - Source
Journal of econometrics. 2011, Vol 164, Num 1, pp 4-20, 17 p ; ref : 1/2 p
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Conference Paper
- Language
- English
- Author keyword
- Bond market E43 Factor model Forecasting G12 G17 Interest rate Yield curve
- Keyword (fr)
- Analyse donnée Econométrie Estimation statistique Modèle dynamique Méthode statistique Processus stochastique Taux intérêt Théorie filtrage Théorie prédiction Théorie prévision 62M20 Modèle factoriel Représentation canonique
- Keyword (en)
- Data analysis Econometrics Statistical estimation Dynamic model Statistical method Stochastic process Interest rate Filtering theory Prediction theory Forecasting theory Factor model
- Keyword (es)
- Análisis datos Econometría Estimación estadística Modelo dinámico Método estadístico Proceso estocástico Tasa interés
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 24462681
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.jeconom.2011.02.011 
https://dx.doi.org/10.1016/j.jeconom.2011.02.011
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