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 |
| Depositing User: | Becky Skoyles |
| Date Deposited: | 28 Apr 2017 09:53 |
| Last Modified: | 19 Nov 2019 09:04 |
| URI: | http://nrl.northumbria.ac.uk/id/eprint/30539 |
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