Examining Performance of Quadratic Models of TermStructure of Interest Rates

Grégoire Leblon and Franck Moraux ()
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Grégoire Leblon: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Abstract: The family of the Affine Term Structure of interest rate has been a lotdeveloped in the literature since the first work of Vasicek (1977) and Cox, Ingersoll andRoss (1985b). Although their performances increase, they are still facing several difficultiesin their capacity to fully explain the behaviour of the Term Structure of interest rate. Someof these issues are explain by the omission of non linear relation in the affine model (Daiand Singleton, 1999). This paper is in the continuity of this reflexion. It presents, develops,applies and discuses the quadratic model defined by Realdon (2006).

Keywords: Quadratic; model (search for similar items in EconPapers)
Date: 2009-05
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Published in Congrès AFFI 2009, May 2009, Brest, France. 37 p

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00391549

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