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Four factor linear–quadratic models (LQTSM) fit negative Euro yields well, as short yields can be negative, but not the longest yields. LQTSM outperform four factor quadratic models that permit negative… Click to show full abstract
Four factor linear–quadratic models (LQTSM) fit negative Euro yields well, as short yields can be negative, but not the longest yields. LQTSM outperform four factor quadratic models that permit negative yields, which in turn outperform affine Gaussian models.
Keywords:
negative euro;
term structure;
models negative;
linear quadratic;
quadratic term;
structure models
Journal Title: Economics Letters
Year Published: 2017
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!