Epilogue
Epilogue
This chapter begins with a bit of history, as what has been done in this book blends the old and the new. In particular, it sketches and contrasts the so-called “traditional” and “modern” approaches to yield curve modeling, to heighten our understanding of where and how DNS/AFNS fits. Against this background, several questions emerge, all of which are presently incompletely resolved but very much evident in the evolving literature, related to the role of no-arbitrage constraints, empirical tractability of various approaches to arbitrage-free modeling, and whether and why the DNS/AFNS model is “special.” These questions are: Is imposition of no-arbitrage helpful? Is AFNS the only tractable A0(3) model? Is AFNS special?
Keywords: dynamic Nelson–Siegel modeling, arbitrage-free dynamic Nelson–Siegel, yield curve fitting
Princeton Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.
Please, subscribe or login to access full text content.
If you think you should have access to this title, please contact your librarian.
To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us.
