How arbitrage-free is the Nelson-Siegel model?

被引：43

作者：

Coroneo, Laura ^{[1
]}

Nyholm, Ken

Vidova-Koleva, Rositsa ^{[2
]}

机构：

[1] Univ Manchester, Sch Social Sci, Manchester M13 9PL, Lancs, England

[2] Univ Autonoma Barcelona, IDEA, Barcelona, Spain

来源：

JOURNAL OF EMPIRICAL FINANCE | 2011年 / 18卷 / 03期

关键词：

Nelson-Siegel model; No-arbitrage restrictions; Affine term structure model; TERM-STRUCTURE MODELS; YIELD CURVE; INTEREST-RATES; BOND YIELDS; DYNAMICS; INFORMATION;

D O I：

10.1016/j.jempfin.2011.03.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999) and Filipovic (1999). Still, central banks and wealth managers rely heavily on it. Using zero-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those obtained from the Nelson-Siegel model. We therefore conclude that the Nelson-Siegel yield curve model is compatible with the no-arbitrage constraints on the US market. To corroborate this result, we also show that the Nelson-Siegel model performs as well as its no-arbitrage counterpart in an out-of-sample forecasting experiment. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：393 / 407

页数：15

共 35 条

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