Quadratic Term Structure Models: Theory and Evidence

By D. Ahn. 2000

454 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8c9ad7852661b98f42821c26746173917f6c5e43

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Citations in the corpus

Evaluating an Alternative Risk Preference in Affine Term Structure Models (2004, background): “There is evidence that this mean-volatility tension is also present in other models outside the affine class [see Ahn, Dittmar, and Gallant (2002) ].”
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, unknown): “Beaglehole and Tenney (1991), Ahn, Dittmar, and Gallant (2002) and Leippold and Wu (2002).”
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications (2006, unknown): “Here ϕ [−1] : [0, ∞] → [0] [1] denotes the pseudo-inverse of ϕ.”
Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors (2005, unknown): “Ahn, Dittmar, and Gallant (2002) discuss an affine-quadratic class of models which, as Brandt and Chapman (2002) show, is also capable of accounting for the failure of the expectations hypothesis.”
Continuous Time Wishart Process for Stochastic Risk (2006, methodology): “The model includes as special cases the quadratic term structure models introduced in the literature for risk-free bonds (Ahn et al., 2002; Constantinides, 1992; Gourieroux and Sufana, 2003; Leippold and Wu, 2002), and the so-called reduced-form model for credit risk, in which rt and i ,t are…”
Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, methodology): “…burden 1 We use the notation affineQ to denote processes that are affine under the risk-neutral measure Q. 2 Our analysis extends immediately to the case of quadratic-Gaussian models discussed in Beaglehole and Tenney (1991), Ahn, Dittmar, and Gallant (2002), and Leippold and Wu (2002).”
Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle (2004, unknown): “We elected to use a simpler, ARCH-like leading term instead of a generalized ARCH (GARCH)-type leading term because of the similar problems with multivariate GARCH-type models of bond yields noted by Ahn et al. (2002).”
Stochastic Volatility: Origins and Overview (2008, background): “…and Lund (1997)), option pricing under SV (Chernov and Ghysels (2000)), affine and quadratic term structure models (Dai and Singleton (2000), Ahn, Dittmar, and Gallant (2002)), SV jump-diffusions for equity returns (Andersen, Benzoni, and Lund (2002)) and term structure models with…”