The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
The affine dynamic Nelson–Siegel model links the affine class of models with the Nelson–Siegel interpolation scheme of the yield curve. Its parameters are interpreted as the latent factors of the spot rate process driven by an affine diffusion. Using an appropriate specification of this diffusion, the yields become in form of the Nelson–Siegel model but an adjustment term is introduced. In this paper,...