SSRNTrading, Microstructure & Execution
Yield-adjustment Term Decomposition
The Arbitrage-Free Nelson-Siegel model has been expanded to a generalized model, revealing new components in the yield-adjustment term and differences across models.
Featured in No. 32 on 9 Jan 2024 · on release day
- Released
- 9 Jan 2024
- First featured
- No. 32 · 9 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- SSRN 4688044
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