{"id":"W4391753003","doi":"10.1017/s1748499524000010","title":"The discrete-time arbitrage-free Nelson-Siegel model: a closed-form solution and applications to mixed funds representation","year":2024,"lang":"en","type":"article","venue":"Annals of Actuarial Science","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Concordia University","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Arbitrage; Kalman filter; Econometrics; Discrete time and continuous time; Economics; Representation (politics); Mathematical economics; Bond; Mathematics; Applied mathematics; Financial economics; Finance; Statistics","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":true,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0008070017,0.00009721243,0.0001610451,0.0001590799,0.0005020384,0.0002589754,0.0005461942,0.00004803692,0.000009719972],"category_scores_gemma":[0.0003496171,0.00008500847,0.00005989111,0.001080378,0.0003320471,0.00043647,0.0001884334,0.00009548786,0.000118174],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00002801082,"about_ca_system_score_gemma":0.0001134015,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001967077,"about_ca_topic_score_gemma":0.00003714753,"domain_scores_codex":[0.9987676,0.000002262234,0.0003924919,0.0004467276,0.0001030292,0.0002878517],"domain_scores_gemma":[0.9990916,0.0001285384,0.0001356199,0.0004307225,0.0001000851,0.0001133885],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00001616849,0.00001880031,0.00001255469,0.0000112258,0.000007383051,9.283972e-8,0.0003831222,0.000196883,0.0009193514,0.9773791,0.001064525,0.01999072],"study_design_scores_gemma":[0.0000877007,0.00005928516,0.001965991,0.00001438777,0.000005573896,0.000001448123,0.00003917705,0.1003173,0.0007743255,0.8859418,0.0106579,0.000135121],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.01088735,0.0008513672,0.9688357,0.01080978,0.0001907107,0.0005425881,0.0002210083,0.0000508516,0.007610703],"genre_scores_gemma":[0.9966872,0.0001794643,0.002285632,0.0001784436,0.0001947089,0.0002165983,0.000007467864,0.00001021858,0.0002403069],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.9857998,"threshold_uncertainty_score":0.3861324,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06062390579370584,"score_gpt":0.3115696299122443,"score_spread":0.2509457241185384,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}