SSRNTrading, Microstructure & Execution
Arbitrage-Free Model
The research presents a four-factor arbitrage-free Nelson-Siegel-Svensson model that is similar to the DNSS model, providing a virtually arbitrage-free DNSS model and broadening the scope for more detailed structural analysis.
Featured in No. 46 on 24 Apr 2024 · 9 days after release
- Released
- 15 Apr 2024
- First featured
- No. 46 · 24 Apr 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 16
- Identifier
- SSRN 4799267
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).