Affine Nelson-Siegel model

被引：4
|
作者：
Alfaro, Rodrigo A. [1 ]
机构：
[1] Cent Bank Chile, Santiago 1180, Chile
来源：
ECONOMICS LETTERS | 2011年 / 110卷 / 01期
关键词：
Nelson-Siegel Model; Yield curve; Euler equation; Affine models; TERM STRUCTURE; BOND YIELDS;
D O I：
10.1016/j.econlet.2010.10.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We introduce a discrete-time version of the dynamic yield curve model proposed by Diebold and Li (2006) which is based on Nelson and Siegel (1987). As in Christensen et al. (2010) we found an affine process that matches the model. (C) 2010 Elsevier B.V. All rights reserved.
引用
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页码：1 / 3
页数：3
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