An intertemporally-consistent and arbitrage-free version of the Nelson and Siegel class of yield curve models

Krippner, Leo

An intertemporally-consistent and arbitrage-free version of the Nelson and Siegel class of yield curve models

dc.contributor.author	Krippner, Leo
dc.date.accessioned	2008-12-15T03:14:49Z
dc.date.available	2008-12-15T03:14:49Z
dc.date.issued	2005-02
dc.description.abstract	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 foundation (conferred via the Heath, Jarrow and Morton (1992) framework) that allows it to be used in applications that involve an implicit or explicit time-series context. As an example of the potentialapplication of the model, the intertemporal consistency is exploited to derive a theoretical time-series process that may be used to forecast the yield curve. The empirical application of the forecasting framework to United States data results in out-of-sample forecasts that outperform the random walk over a sample period of almost 50 years, for forecast horizons ranging from six months to three years.	en_US
dc.format.mimetype	application/pdf
dc.identifier.citation	Krippner, L. (2005). An intertemporally-consistent and arbitrage-free version of the Nelson and Siegel class of yield curve models. (Department of Economics Working Paper Series, Number 1/05). Hamilton, New Zealand: University of Waikato.	en_US
dc.identifier.uri	https://hdl.handle.net/10289/1648
dc.language.iso	en
dc.relation.ispartofseries	Department of Economics Working Paper Series
dc.subject	yield curve	en_US
dc.subject	term structure of interest rates	en_US
dc.subject	Nelson and Siegel model	en_US
dc.subject	Heath-Jarrow-Morton framework	en_US
dc.title	An intertemporally-consistent and arbitrage-free version of the Nelson and Siegel class of yield curve models	en_US
dc.type	Working Paper	en_US
uow.relation.series	1/05