Browsing by Author "Krippner, Leo"
Now showing items 1-5 of 8
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Attributing returns and optimising United States swaps portfolios using an intertemporally-consistent and arbitrage-free model of the yield curve
(2005-03)This paper uses the volatility-adjusted orthonormalised Laguerre polynomial model of the yield curve (the VAO model) from Krippner (2005), an intertemporally-consistent and arbitrage-free version of the popular Nelson and ... -
The Derivation and Application of a Theoretically and Economically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
(The University of Waikato, 2007)A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafter NS) approach of fitting yield curve data with simple functions of maturity. However, NS models are not theoretically consistent ... -
An intertemporally-consistent and arbitrage-free version of the Nelson and Siegel class of yield curve models
(2005-02)This article derives a generic, intertemporally-consistent, and arbitrage-free version of the popular class of yield curve models originally introduced by Nelson and Siegel (1987). The derived model has a theoretical ... -
Investigating the relationships between the yield curve, output and inflation using an arbitrage-free version of the Nelson and Siegel class of yield curve models
(2005-02)This article provides a theoretical economic foundation for the popular Nelson and Siegel (1987) class of yield curve models (which has been absent up to now). This foundation also offers a new framework for investigating ... -
Modelling the yield curve with Orthonomalised Laguerre Polynomials: An intertemporally consistent approach with an economic interpretation
(2003-09)This article provides theoretical foundations for the popular orthonormalised Laguerre polynomial (OLP) model of the yield curve, as originally introduced by Nelson and Siegel (1987). Intertemporal consistency is provided ...
