NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models

Jens H. E. Christensen, Francis X. Diebold, Glenn D. Rudebusch

NBER Working Paper No. 13611
Issued in November 2007

---- Acknowledgements -----

The views expressed are those of the authors and do not necessarily reflect the views of others at the Federal Reserve Bank of San Francisco. Georg Strasser provided excellent research assistance. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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