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60 p, 1.2 MB How arbitrage-free is the Nelson-Siegel model? / Coroneo, Laura (Universite Libre de Bruxelles) ; Nyholm, Ken (European Central Bank) ; Vidova-Koleva, Rositsa (Universitat Autònoma de Barcelona) ; European Central Bank
We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). [...]
Frankfurt am Main : European Central Bank, 2008 (Working paper series ; 874)
ECB Working Paper, Núm. 874 (febrer 2008)  
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