Quadratic Term Structure Models: Theory and Evidence

@article{Ahn2000QuadraticTS,
  title={Quadratic Term Structure Models: Theory and Evidence},
  author={D. Ahn and Robert F. Dittmar and A. Gallant},
  journal={Review of Financial Studies},
  year={2000},
  volume={15},
  pages={243-288}
}
  • D. Ahn, Robert F. Dittmar, A. Gallant
  • Published 2000
  • Economics, Mathematics
  • Review of Financial Studies
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. We 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… Expand

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