Quadratic Term Structure Models

By Markus Leippold, Liuren Wu. 2000

59 citations recorded by the source corpus.

Subfields: Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/4ea943aa596473a336865d793dcb47a0f1701fc7

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In Finance

1. Kenneth J. Singleton
2. Qiang Dai
3. Darrell Duffie
4. Andrew Ang
5. Glenn D. Rudebusch
6. Monika Piazzesi
7. Anh Le
8. Michael W. Brandt

Citations in the corpus

• Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002, background): “For instance, the family of N-factor quadratic-Gaussian models studied by Leippold and Wu [1998] , Lu [1999], and Ahn, Dittmar, and Gallant [2000] has the instantaneous short rate r given by r(t )= a0+Y0b0+Y0c0Y;where c0 is an NN”