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Affine Nelson-Siegel model

Rodrigo Alfaro ()

Economics Letters, 2011, vol. 110, issue 1, 1-3

Abstract: 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.

Keywords: Nelson-Siegel; Model; Yield; curve; Euler; equation; Affine; models (search for similar items in EconPapers)
Date: 2011
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