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.
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页数：6
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