Linear–quadratic term structure models for negative euro area yields

Realdon, Marco and Boonyanet, Wachira (2017) Linear–quadratic term structure models for negative euro area yields. Economics Letters, 155. pp. 149-153. ISSN 0165-1765

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Official URL: https://doi.org/10.1016/j.econlet.2017.03.029

Abstract

Four factor linear–quadratic models (LQTSM) fit negative Euro yields well, as short yields can be negative, but not the longest yields. LQTSM outperform four factor quadratic models that permit negative yields, which in turn outperform affine Gaussian models.

Item Type: Article
Uncontrolled Keywords: Linear–quadratic term structure models; Quadratic models; Discrete time; Negative yields; Extended Kalman Filter
Subjects: L100 Economics
N300 Finance
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Becky Skoyles
Date Deposited: 28 Apr 2017 09:53
Last Modified: 28 Apr 2017 09:53
URI: http://nrl.northumbria.ac.uk/id/eprint/30539

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