Generalized Affine Nelson-Siegel Term Structure Models PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Generalized Affine Nelson-Siegel Term Structure Models PDF full book. Access full book title Generalized Affine Nelson-Siegel Term Structure Models by Daoming Song. Download full books in PDF and EPUB format.

Generalized Affine Nelson-Siegel Term Structure Models

Generalized Affine Nelson-Siegel Term Structure Models PDF Author: Daoming Song
Publisher:
ISBN:
Category :
Languages : en
Pages : 12

Get Book Here

Book Description
Some generalizations of the Nelson and Siegel (1987) models are widely applied in central banks and financial institutions. This paper introduces a discrete-time version of the generalized Nelson-Siegel term structure models proposed by Svesson (1995) and Björk and Christensen (1999). As in Alfaro (2011), we find that these generalized discrete-time models are consistent with the affine class of term structure models.