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The shifting constant in the Arbitrage-Free Nelson-Siegel model
The yield adjustment term of the Arbitrage Free Nelson Siegel (AFNS) model has shifted substantially over the years, peaking during the global financial crisis.
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The yield adjustment term of the Arbitrage Free Nelson Siegel (AFNS) model has shifted substantially over the years, peaking during the global financial crisis.
Marketing communication / Non-Independent Research. This publication is issued by Coöperatieve Rabobank U.A., registered in Amsterdam, and/or any one or more of its affiliates and related bodies corporate (jointly and individually: “Rabobank”). Coöperatieve Rabobank U.A. is authorised and regulated by De Nederlandsche Bank and the Netherlands Authority for the Financial Markets. Read more