Arbitrage-free relative Nelson–Siegel model

Hokuto Ishii

Finance Research Letters, 2020, vol. 37, issue C

Abstract: This paper introduces a model of the difference between home and foreign country interest rates based on the arbitrage-free pricing theory, called the “Arbitrage-free relative Nelson–Siegel model” (AFRNS). This model implies that the relative volatility effect of the model appreciates future exchange rate changes. The effect increases as the future period lengthens.

Keywords: Arbitrage-free pricing theory; Relative yield curve; Uncovered interest rate parity (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612319304507
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319304507

DOI: 10.1016/j.frl.2019.101377

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().