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| Author: | Ahn, D.-H. Dittmar, R. F. Gallant, A. R. |
| Title: | Quadratic Term Structure Models: Theory and Evidence |
| Journal: | Review of Financial Studies
2002 : SPRING, VOL. 15:1, p. 243-288 |
| Index terms: | FINANCE FINANCIAL ANALYSIS MODELS MODEL TESTING ANALYTICAL REVIEW |
| Language: | eng |
| Abstract: | This article theoretically explores the characteristics underpinning quadratic term structure models (QTSMs), which designate the yield on a bond as a quadratic function of underlying state variables. The authors develop a comprehensive QTSM, which is maximally flexible and thus encompasses the features of several diverse models including the double square-root model of Longstaff (1989), the univariate quadratic model of Beaglehole and Tenney (1992), and the squared autoregressive-independent-variable nominal term structure (SAINTS) model of Constantinides (1992). The authors document a complete classification of admissibility and empirical identification for the QTSM. |
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