Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete Time

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: This article presents new expressions related to the discrete version of Ahn, Dittmar, Gallant's quadratic model in discrete time. The new expressions one proposes avoid any recursive equations as in Realdon (2006). This may help and speed up both computation and calibration. Furthermore, a multi factors Quadratic Term Structure Model (QTSM) and a multi factors Affine Term Structure Model (ATSM) are estimated and their relative performance are tested. Finally, the behavior of the QTSM is investigated to understand in which way it is relevant to modelize the Term Structure of Interest Rate.

Keywords: Interest Rate; Quadratic Term Structure Model; Interest Rate. (search for similar items in EconPapers)
Date: 2010-05
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Published in Euro Working Group on Financial Modeling (46th EWGFM), May 2010, Istanbul, Turkey. 42 p

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00523163

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