NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

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

NBER Working Paper No. 14463
Issued in November 2008

---- Acknowledgements -----

We thank Richard Smith for organizing the Special Session on Financial Econometrics at the 2008 meeting of the Royal Economic Society, at which we first presented this paper. We also thank our discussant, Alessio Sancetta. 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, nor the views of the National Bureau of Economic Research.

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