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Design and Estimation of Quadratic Term Structure Models · Study

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PreprintDesign and Estimation of Quadratic Term Structure Models

Markus Leippold2002

OA

Preprintgreen2002

Design and Estimation of Quadratic Term Structure Models

Markus Leippold · Liuren Wu

42 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

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References

1985A Theory of the Term Structure of Interest Rates 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1991Common Factors Affecting Bond Returns 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View 2000Specification Analysis of Affine Term Structure Models 2002Term Premia and Interest Rate Forecasts in Affine Models 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields

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2003Design and Estimation of Quadratic Term Structure Modelsarticle · 32 shared references 2007Design and Estimation of Multi-Currency Quadratic Models*article · 18 shared references 2009Predictability of Interest Rates and Interest-Rate Portfoliosarticle · 17 shared references 2005Wishart Quadratic Term Structure Modelspreprint · 16 shared references 2011Do interest rate options contain information about excess returns?article · 14 shared references 2017Interest rate volatility, the yield curve, and the macroeconomyarticle · 14 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.317120

openalex_workW2168434664

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