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Generalized Affine Nelson-Siegel Term Structure Models

Some generalizations of the Nelson and Siegel (1987) models are widely applied in central banks and financial institutions. This paper introduces a discrete-time version of the generalized Nelson-Siegel term structure models proposed by Svesson (1995) and Bjork and Christensen (1999). As in Alfaro (2011), we find that these generalized discrete-time models are consistent with the affine class of term structure models.