Linear–quadratic term structure models for negative euro area yields

Marco Realdon, Wachira Boonyanet

    Research output: Contribution to journalArticlepeer-review

    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.
    Original languageEnglish
    Pages (from-to)149-153
    JournalEconomics Letters
    Volume155
    Early online date31 Mar 2017
    DOIs
    Publication statusPublished - Jun 2017

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