rate model or a quadratic term structure model. We show that the models achieve a similar in-sample fit and perform …

by a quadratic policy rate or a shadow rate specification. We address the question by estimating quadratic term structure …

We propose a quadratic term-structure model of the EURIBOR-OIS spreads. Contrary to OIS, EURIBOR rates incorporate …

quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest … rate can have different economic or financial trends justify the interest of Regime Switching Quadratic Term Structure … modelling that the conditional zero coupon bond price admits also a quadratic term structure. Moreover, the stochastic …

This paper shows how to use adaptive particle filtering and Markov chain Monte Carlo methods to estimate quadratic term … structure models (QTSMs) by likelihood inference. The procedure is applied to a quadratic model for the United States during the …

setting whereby the short term interest rate is modelled by a quadratic term structure model. Earnings are driven by mean …

This paper extends the results on quadratic term structure models in continuos time to the discrete time setting. The …

, futures price, forward price, affine term structure, quadratic term structure. JEL Classification: E43, G13 ∗ I thank my … key notation • General Quadratic Term Structure (GQTS) Bond prices: lnH p (t,z,T)=A p (t,T)+B ∗ p (t,T)z +z ∗ C p (t … prices, respectively. We now establish exactly what we mean by a general quadratic term structure (GQTS). Definition 2.1 The …