Arbitrage-free relative Nelson-Siegel model

被引：0
|
作者：
Ishii, Hokuto [1 ]
机构：
[1] Nagoya Univ, Grad Sch Econ, Chikusa Ku, Furo Cho, Nagoya, Aichi, Japan
来源：
FINANCE RESEARCH LETTERS | 2020年 / 37卷
关键词：
Arbitrage-free pricing theory; Relative yield curve; Uncovered interest rate parity;
D O I：
10.1016/j.frl.2019.101377
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper introduces a model of the difference between home and foreign country interest rates based on the arbitrage-free pricing theory, called the "Arbitrage-free relative Nelson-Siegel model" (AFRNS). This model implies that the relative volatility effect of the model appreciates future exchange rate changes. The effect increases as the future period lengthens.
引用
收藏
页数：6
相关论文
共 50 条
  • [1] How arbitrage-free is the Nelson-Siegel model?
    Coroneo, Laura
    Nyholm, Ken
    Vidova-Koleva, Rositsa
    JOURNAL OF EMPIRICAL FINANCE, 2011, 18 (03) : 393 - 407
  • [2] Arbitrage-free Nelson-Siegel model for multiple yield curves
    Brignone, Riccardo
    Gerhart, Christoph
    Luetkebohmert, Eva
    MATHEMATICS AND FINANCIAL ECONOMICS, 2022, 16 (02) : 239 - 266
  • [3] An arbitrage-free generalized Nelson-Siegel term structure model
    Christensen, Jens H. E.
    Diebold, Francis X.
    Rudebusch, Glenn D.
    ECONOMETRICS JOURNAL, 2009, 12 (03): : C33 - C64
  • [4] How arbitrage-free is the Nelson-Siegel model under stochastic volatility?
    Takamizawa, Hideyuki
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2022, 79 : 205 - 223
  • [5] A generalised arbitrage-free Nelson-Siegel model: The impact of unspanned stochastic volatility
    Chen, Rui
    Du, Ke
    FINANCE RESEARCH LETTERS, 2013, 10 (01) : 41 - 48
  • [6] The affine arbitrage-free class of Nelson-Siegel term structure models
    Christensen, Jens H. E.
    Diebold, Francis X.
    Rudebusch, Glenn D.
    JOURNAL OF ECONOMETRICS, 2011, 164 (01) : 4 - 20
  • [7] Arbitrage-free Nelson–Siegel model for multiple yield curves
    Riccardo Brignone
    Christoph Gerhart
    Eva Lütkebohmert
    Mathematics and Financial Economics, 2022, 16 : 239 - 266
  • [8] What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson-Siegel model with jump diffusion
    Fang, Dong-Jie
    Yeh, Zong-Wei
    He, Jie-Cao
    Lin, Shih-Kuei
    PACIFIC-BASIN FINANCE JOURNAL, 2024, 86
  • [9] The discrete-time arbitrage-free Nelson-Siegel model: a closed-form solution and applications to mixed funds representation
    Eghbalzadeh, Ramin
    Godin, Frederic
    Gaillardetz, Patrice
    ANNALS OF ACTUARIAL SCIENCE, 2024, 18 (02) : 310 - 341
  • [10] Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
    Godin, Frederic
    Eghbalzadeh, Ramin
    Gaillardetz, Patrice
    REVIEW OF DERIVATIVES RESEARCH, 2023, 26 (2-3) : 171 - 206
12345