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Credit and Liquidity in Interbank Rates: a Quadratic Approach.

Dubecq, S.; Monfort, A.; Renne, J-P.; Roussellet, G. - Banque de France - 2013

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

Persistent link: https://www.econbiz.de/10010815975

Markov switching quadratic term structure models

Goutte, Stéphane - HAL - 2013

rate can have different economic or financial trends justify the interest of Regime Switching Quadratic Term Structure … Model (RS-QTSM). Indeed, this regime switching process depends on the values of a Markov chain with a time dependent …

Persistent link: https://www.econbiz.de/10010821155

Credit and liquidity in interbank rates : a quadratic approach

Dubecq, Simon; Monfort, Alain; Renne, Jean-Paul; … - In: Journal of banking & finance 68 (2016), pp. 29-46

Persistent link: https://www.econbiz.de/10011634788

A regime-switching model to evaluate bonds in a quadratic term structure of interest rates

Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Applied financial economics 24 (2014) 19/21, pp. 1361-1366

Persistent link: https://www.econbiz.de/10010460151

Equity Valuation Under Stochastic Interest Rates

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

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

Persistent link: https://www.econbiz.de/10005523978

Quadratic Term Structure Models in Discrete Time

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

This paper extends the results on quadratic term structure models in continuos time to the discrete time setting. The continuos time setting can be seen as a special case of the discrete time one. Recursive closed form solutions for zero coupon bonds are provided even in the presence of multiple...

Persistent link: https://www.econbiz.de/10005129640