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 …