@techreport{NBERw14463,
 title = "An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model",
 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 = "14463",
 year = "2008",
 month = "November",
 URL = "http://www.nber.org/papers/w14463",
 abstract = {The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit.},
}