0f6332eded33c4d215d4913950f37d40 jouempfin_a2011m06v18n03p393iENG_workig_paper.pdf f99d68cf57943e82459d29b6aa2b7ab6b42f6699 jouempfin_a2011m06v18n03p393iENG_workig_paper.pdf ba400adc8a4b1ea6ad94549054febd4f5b1eb5ceacfdc716f9fae4b6f1b90ddd jouempfin_a2011m06v18n03p393iENG_workig_paper.pdf Title: HOW ARBITRAGE-FREE IS THE NELSON-SIEGEL MODEL? Subject: European Central Bank Working Paper No 874, February 2008 Keywords: JEL classification codes: C14, C15, G12 Keywords: Nelson-Siegel model; No-arbitrage restrictions; affine term structure models; non-parametric test Author: Laura Coroneo, Ken Nyholm and Rositsa Vidova-Koleva Creator: Asura Version 8.5 (SR 1) Producer: OneVision PDFengine (Build 18.055.S) CreationDate: Fri Feb 8 09:49:09 2008 CET ModDate: Mon Feb 25 15:38:52 2008 CET Tagged: no UserProperties: no Suspects: no Form: AcroForm JavaScript: no Pages: 60 Encrypted: no Page size: 595.276 x 841.89 pts (A4) Page rot: 0 File size: 1276628 bytes Optimized: yes PDF version: 1.5 name type encoding emb sub uni object ID ------------------------------------ ----------------- ---------------- --- --- --- --------- ECDDHA+GillSans-BoldCondensed Type 1C Custom yes yes yes 365 0 ECDDHA+GillSans-BoldCondensed Type 1C Custom yes yes yes 366 0 ECDDHA+GillSans-BoldCondensed Type 1C Custom yes yes yes 367 0 GCDDHA+GillSans-Condensed Type 1C Custom yes yes yes 380 0 GCDDHA+GillSans-Condensed Type 1C Custom yes yes yes 381 0 GCDDHA+GillSans-Condensed Type 1C Custom yes yes yes 382 0 CINIKM+TimesNewRomanPSMT TrueType WinAnsi yes yes no 156 0 CINIJK+GillSans-BoldCondensed Type 1C Custom yes yes yes 161 0 CINJDC+GillSans-Condensed Type 1C WinAnsi yes yes no 166 0 CINJDD+GillSans TrueType WinAnsi yes yes no 165 0 CINJFF+TimesNewRomanMT-ExtraBold TrueType WinAnsi yes yes no 178 0 CINJGH+TimesNewRomanPS-ItalicMT TrueType WinAnsi yes yes no 179 0 CINJGI+TimesNewRomanPS-ItalicMT TrueType MacRoman yes yes no 177 0 CINJNO+TimesNewRomanPSMT TrueType MacRoman yes yes no 180 0 CINKFD+CMBX10 Type 1C Custom yes yes yes 189 0 CINKGF+CMR10 Type 1C Custom yes yes yes 181 0 CINKGG+CMR12 Type 1C Custom yes yes yes 192 0 CINKGH+CMTI12 Type 1C Custom yes yes yes 191 0 CINKJK+CMBX12 Type 1C Custom yes yes yes 197 0 CINLBA+CMR8 Type 1C Custom yes yes yes 212 0 CINLCB+CMR7 Type 1C Custom yes yes yes 210 0 CINMAM+CMMI12 Type 1C Custom yes yes yes 213 0 CINMAN+CMMI8 Type 1C Custom yes yes yes 227 0 CINMAO+CMSY10 Type 1C Custom yes yes yes 226 0 CINMNH+CMEX10 Type 1C Custom yes yes yes 230 0 CINNHO+CMSY8 Type 1C Custom yes yes yes 236 0 CINPHD+CMMI10 Type 1C Custom yes yes yes 240 0 CIOCEB+CMR6 Type 1C Custom yes yes yes 246 0 CIODLB+CMMI7 Type 1C Custom yes yes yes 258 0 CIODLC+CMMI5 Type 1C Custom yes yes yes 249 0 CIODMD+CMSY5 Type 1C Custom yes yes yes 255 0 CIODME+CMR5 Type 1C Custom yes yes yes 253 0 CIOIIG+Helvetica TrueType WinAnsi yes yes no 260 0 CINHPC+Helvetica CID TrueType Identity-H yes yes yes 264 0 CJFOCM+CMMI6 Type 1C Custom yes yes yes 271 0 CJGADB+GillSans-Bold Type 1C WinAnsi yes yes no 274 0 CJGAED+GillSans TrueType MacRoman yes yes no 275 0 Jhove (Rel. 1.22.1, 2019-04-17) Date: 2020-05-16 02:18:29 CEST RepresentationInformation: jouempfin_a2011m06v18n03p393iENG_workig_paper.pdf ReportingModule: PDF-hul, Rel. 1.12.1 (2019-04-17) LastModified: 2020-03-26 16:14:38 CET Size: 1276628 Format: PDF Version: 1.5 Status: Well-Formed and valid SignatureMatches: PDF-hul MIMEtype: application/pdf Profile: Linearized PDF PDFMetadata: Objects: 457 FreeObjects: 1 IncrementalUpdates: 1 DocumentCatalog: PageLayout: SinglePage PageMode: UseOutlines Outlines: Item: Title: HOW ARBITRAGE-FREE IS THE NELSON-SIEGEL MODEL? Item: Title: CONTENTS Item: Title: Abstract Item: Title: Non-technical summary Item: Title: I Introduction Item: Title: II Modeling framework Children: Item: Title: A The Nelson-Siegel model Item: Title: B Gaussian arbitrage-free models Item: Title: C Motivation Item: Title: III Data Item: Title: IV Estimation Procedure Children: Item: Title: A Resampling procedure Item: Title: V Results Children: Item: Title: A Testingresults Item: Title: B In-sample comparison Item: Title: C Out-of-sample comparison Item: Title: VI Conclusion Item: Title: Tables and Graphs Item: Title: References Item: Title: European Central Bank Working Paper Series Info: Title: HOW ARBITRAGE-FREE IS THE NELSON-SIEGEL MODEL? Author: Laura Coroneo, Ken Nyholm and Rositsa Vidova-Koleva Subject: European Central Bank Working Paper No 874, February 2008 Keywords: JEL classification codes: C14, C15, G12 Keywords: Nelson-Siegel model; No-arbitrage restrictions; affine term structure models; non-parametric test Creator: Asura Version 8.5 (SR 1) Producer: OneVision PDFengine (Build 18.055.S) CreationDate: Fri Feb 08 09:49:09 CET 2008 ModDate: Mon Feb 25 15:38:52 CET 2008 ID: 0x443a3230303830323038303934393039, 0xa49926d7bba2244f8a136bcd6be62cff Filters: FilterPipeline: FlateDecode FilterPipeline: CCITTFaxDecode FilterPipeline: DCTDecode Images: Image: NisoImageMetadata: FormatName: image/tiff CompressionScheme: CCITT Group 4 ImageWidth: 1477 ImageHeight: 1682 BitsPerSample: 1 BitsPerSampleUnit: integer ImageMask: true Name: img1 Image: NisoImageMetadata: FormatName: image/jpg CompressionScheme: JPEG ImageWidth: 828 ImageHeight: 814 BitsPerSample: 8 BitsPerSampleUnit: integer Name: img0 Image: NisoImageMetadata: 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