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Author: | Leippold, M. Wu, L. |
Title: | Design and estimation of quadratic term structure models |
Journal: | European Finance Review
2003 : VOL. 7:1, p. 47-73 |
Index terms: | Estimation Expectations Term structure of interest rates |
Freeterms: | Quadratic models |
Language: | eng |
Abstract: | The design and estimation of quadratic term structure models are considered in this paper. The authors start with a list of stylized facts on interest rate derivatives, classified into three layers: 1) general statistical properties, 2) forecasting relations and 3) conditional dynamics. They then investigate the implications of each layer of property on model design and strive to establish a mapping between evidence and model structures. |
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