Jens Hesse's repositories
arbfree_dynamic_nelson_siegel
Arbitrage-free Dynamic Generalized Nelson-Siegel model of interest rates following Christensen, Diebold and Rudebusch; and its estimation using the Kalman filter / maximum likelihood.
Arbitrage-free Dynamic Generalized Nelson-Siegel model of interest rates following Christensen, Diebold and Rudebusch; and its estimation using the Kalman filter / maximum likelihood.