Atsushi Sekine

Graduate School of Social Sciences, Chiba University

Associate Professor

1-33, Yayoi-cho

Inage-ku

Chiba-shi, Chiba, 263-8522

Japan

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Scholarly Papers (1)

1.

Nelson-Siegel Decay Factor and Term Premia in a Low Interest Rate Environment

Number of pages: 28 Posted: 17 Mar 2020 Last Revised: 28 Dec 2020
Junko Koeda and Atsushi Sekine
Ministry of Finance, Japan and Graduate School of Social Sciences, Chiba University
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Abstract:

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decay factor, Nelson Siegel, term premium, Japan, nonlinear state space model