Affine Nelson-Siegel model

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 110
Issue: 1
Pages: 1-3

Score contribution per author:

1.009 = (α=2.02 / 1 authors) × 0.5x C-tier

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

Abstract

We introduce a discrete-time version of the dynamic yield curve model proposed by Diebold and Li (2006) which is based on Nelson and Siegel (1987). As in Christensen et al. (2010) we found an affine process that matches the model.

Technical Details

RePEc Handle
repec:eee:ecolet:v:110:y:2011:i:1:p:1-3
Journal Field
General
Author Count
1
Added to Database
2026-01-24