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DC Field | Value | Language |
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dc.contributor.author | Steeley, JM | - |
dc.date.accessioned | 2020-03-16T13:39:19Z | - |
dc.date.available | 2014-01-01 | - |
dc.date.available | 2020-03-16T13:39:19Z | - |
dc.date.issued | 2014-03-19 | - |
dc.identifier.citation | Applied Financial Economics, 2014, 24 (10), pp. 661 - 669 | en_US |
dc.identifier.issn | 0960-3107 | - |
dc.identifier.issn | http://dx.doi.org/10.1080/09603107.2014.896980 | - |
dc.identifier.issn | 1466-4305 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/20531 | - |
dc.description.abstract | The appealing feature of the arbitrage-free Nelson-Siegel model of the yield curve is the ability to capture movements in the yield curve through readily interpretable shifts in its level, slope or curvature, all within a dynamic arbitrage-free framework. To ensure that the level, slope and curvature factors evolve so as not to admit arbitrage, the model introduces a yield-adjustment term. This paper shows how the yield-adjustment term can also be decomposed into the familiar level, slope and curvature elements plus some additional readily interpretable shape adjustments. This means that, even in an arbitrage-free setting, it continues to be possible to interpret movements in the yield curve in terms of level, slope and curvature influences. © 2014 © 2014 Taylor & Francis. | en_US |
dc.format.extent | 661 - 669 | - |
dc.language.iso | en | en_US |
dc.publisher | Taylor & Francis | en_US |
dc.subject | arbitrage-free | en_US |
dc.subject | Nelson–Siegel model | en_US |
dc.subject | yield curve | en_US |
dc.title | A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1080/09603107.2014.896980 | - |
dc.relation.isPartOf | Applied Financial Economics | - |
pubs.issue | 10 | - |
pubs.publication-status | Published | - |
pubs.volume | 24 | - |
dc.identifier.eissn | 1466-4305 | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | 922.55 kB | Adobe PDF | View/Open |
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