A Shape-Based Decomposition of the Yield Adjustment Term in the Arbitrage-Free Nelson and Siegel (AFNS) Model of the Yield Curve

Applied Financial Economics
doi 10.1080/09603107.2014.896980
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Informa UK Limited

Related search

Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model

SSRN Electronic Journal
2010English

Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-Coupon Yield Curve

Naše gospodarstvo/Our economy
2016English

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

SSRN Electronic Journal
2007English

Nelson-Siegel Model Approach to the Euro Area Yield Curves

Lietuvos statistikos darbai
2017English

Information in the Term Structure of Yield Curve Volatility

Journal of Finance
AccountingEconomicsEconometricsFinance
2016English

Forces That Shape the Yield Curve: Parts 1 and 2

SSRN Electronic Journal
2001English

Riding the Yield Curve

IMF Working Papers
2020English

The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach

Canadian Journal of Economics
EconomicsEconometrics
2007English

The Information Content of the Yield Curve in Australia

Journal of Macroeconomics
EconomicsEconometrics
1995English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy