Linear–quadratic term structure models for negative euro area yields
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DOI: 10.1016/j.econlet.2017.03.029
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… read more here.
Keywords: negative euro; term structure; models negative; linear quadratic ... See more keywords