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Conference papers

Examining Performance of Quadratic Models of Term
Structure of Interest Rates

Abstract : The family of the Affine Term Structure of interest rate has been a lot
developed in the literature since the first work of Vasicek (1977) and Cox, Ingersoll and
Ross (1985b). Although their performances increase, they are still facing several difficulties
in their capacity to fully explain the behaviour of the Term Structure of interest rate. Some
of these issues are explain by the omission of non linear relation in the affine model (Dai
and Singleton, 1999). This paper is in the continuity of this reflexion. It presents, develops,
applies and discuses the quadratic model defined by Realdon (2006).
keyword : Quadratic model
Document type :
Conference papers
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https://halshs.archives-ouvertes.fr/halshs-00391549
Contributor : Dominique Maraine-Scipanov Connect in order to contact the contributor
Submitted on : Thursday, June 4, 2009 - 10:48:31 AM
Last modification on : Tuesday, October 19, 2021 - 11:34:03 PM

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  • HAL Id : halshs-00391549, version 1

Citation

Grégoire Leblon, Franck Moraux. Examining Performance of Quadratic Models of Term
Structure of Interest Rates. Congrès AFFI 2009, May 2009, Brest, France. 37 p. ⟨halshs-00391549⟩

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