Linear-quadratic term structure models for negative Euro area yields

DOI10.1016/j.econlet.2017.03.029zbMath1398.91630OpenAlexW2602931517MaRDI QIDQ1673466

Marco Realdon, Wachira Boonyanet

Publication date: 12 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.03.029

zbMATH Keywords

extended Kalman filterdiscrete timequadratic modelslinear-quadratic term structure modelsnegative yields

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING

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