Economics at your fingertips  

Linear–quadratic term structure models for negative euro area yields

Marco Realdon and Wachira Boonyanet

Economics Letters, 2017, vol. 155, issue C, 149-153

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 (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2018-05-03
Handle: RePEc:eee:ecolet:v:155:y:2017:i:c:p:149-153