An arbitrage‐free generalized Nelson–Siegel term structure model
针对Svensson推广的Nelson-Siegel模型在动态形式下无法保证无套利一致性的问题，提出了一个可施加无套利条件的广义Nelson-Siegel模型，并展示了其易处理性和良好的样本内拟合效果。
The Svensson generalization of the popular Nelson–Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson–Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage‐free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage‐free affine term structure representation. Therefore, we introduce a closely related generalized Nelson–Siegel model on which the no‐arbitrage condition can be imposed. We estimate this new AFGNS model and demonstrate its tractability and good in‐sample fit.