Linear–quadratic term structure models for negative euro area yields

Marco Realdon; Wachira Boonyanet

doi:10.1016/j.econlet.2017.03.029

Linear–quadratic term structure models for negative euro area yields

Marco Realdon, Wachira Boonyanet

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	149-153
Journal	Economics Letters
Volume	155
Early online date	31 Mar 2017
DOIs	https://doi.org/10.1016/j.econlet.2017.03.029
Publication status	Published - Jun 2017

Keywords

Linear–quadratic term structure models
Quadratic models
Discrete time
Negative yields
Extended Kalman Filter

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10.1016/j.econlet.2017.03.029

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@article{d7135a5ddf804cb585311def79c44753,

title = "Linear–quadratic term structure models for negative euro area yields",

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.",

keywords = "Linear–quadratic term structure models, Quadratic models, Discrete time, Negative yields, Extended Kalman Filter",

author = "Marco Realdon and Wachira Boonyanet",

year = "2017",

month = jun,

doi = "10.1016/j.econlet.2017.03.029",

language = "English",

volume = "155",

pages = "149--153",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

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AU - Realdon, Marco

AU - Boonyanet, Wachira

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AB - 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.

KW - Linear–quadratic term structure models

KW - Quadratic models

KW - Discrete time

KW - Negative yields

KW - Extended Kalman Filter

U2 - 10.1016/j.econlet.2017.03.029

DO - 10.1016/j.econlet.2017.03.029

M3 - Article

SN - 0165-1765

VL - 155

SP - 149

EP - 153

JO - Economics Letters

JF - Economics Letters

ER -

Linear–quadratic term structure models for negative euro area yields

Abstract

Keywords

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