How arbitrage-free is the Nelson-Siegel model?

C-Tier

Journal: Journal of Empirical Finance

Year: 2011

Volume: 18

Issue: 3

Pages: 393-407

Authors (3)

Coroneo, Laura (University of York) Nyholm, Ken (not in RePEc) Vidova-Koleva, Rositsa (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count