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How arbitrage-free is the Nelson–Siegel model?

✍ Scribed by Laura Coroneo; Ken Nyholm; Rositsa Vidova-Koleva

Book ID: 116641794
Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 989 KB
Volume: 18
Category: Article
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2011.03.002

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## ABSTRACT This paper compares various ways of extracting macroeconomic information from a data‐rich environment for forecasting the yield curve using the Nelson–Siegel model. Five issues in extracting factors from a large panel of macro variables are addressed; namely, selection of a subset of th