@techreport{NBERw13611,
 title = "The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models",
 author = "Jens H. E. Christensen and Francis X. Diebold and Glenn D. Rudebusch",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "13611",
 year = "2007",
 month = "November",
 URL = "http://www.nber.org/papers/w13611",
 abstract = {We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.},
}