Design and Estimation of Quadratic Term Structure Models *

DOI10.1023/A:1022502724886zbMath1032.91067OpenAlexW3124353451MaRDI QIDQ4707093

Liuren Wu, Markus Leippold

Publication date: 9 June 2003

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022502724886

zbMATH Keywords

term structureGMMquadratic modelhumpsexpectation hypothesispositive interest rates

Mathematics Subject Classification ID

Related Items (10)

ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS ⋮ THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS ⋮ LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING ⋮ Purebred or hybrid?: Reproducing the volatility in term structure dynamics. ⋮ Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model ⋮ A collateralized loan’s loss under a quadratic Gaussian default intensity process ⋮ Discrete time Wishart term structure models ⋮ QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES ⋮ Pricing of long dated equity-linked life insurance contracts ⋮ Testing affine term structure models in case of transaction costs

Uses Software

• PDE2D

This page was built for publication: Design and Estimation of Quadratic Term Structure Models *