Matches in SemOpenAlex for { <https://semopenalex.org/work/W1485179637> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W1485179637 abstract "This paper theoretically explores the characteristics underpinning quadratic term structure models (QTSMs), which designate the yield on a bond as a quadratic function of underlying state variables. We develop a comprehensive QTSM, which is maximally flexible and thus encompasses the features of several diverse models including the double square-root model of Longstaff (1989), the univariate quadratic model of Beaglehole and Tenney (1992), and the Squared Autoregressive Independent Variable Nominal Term Structure (SAINTS) model of Constantinides (1992). We document a complete classification of admissibility and empirical identification for the QTSM, and demonstrate that the QTSM can overcome limitations inherent in affine term structure models (ATSMs). Using the Efficient Method of Moments of Gallant and Tauchen (1996), we test the empirical performance of the model in determining bond prices and compare the performance to the ATSMs. The results of the goodness-of-fit tests suggest that the QTSMs outperform the ATSMs in explaining historical bond price behavior in the US." @default.
- W1485179637 created "2016-06-24" @default.
- W1485179637 creator A5009163883 @default.
- W1485179637 creator A5013335795 @default.
- W1485179637 creator A5052512260 @default.
- W1485179637 date "2000-01-01" @default.
- W1485179637 modified "2023-10-11" @default.
- W1485179637 title "Quadratic Term Structure Models: Theory and Evidence" @default.
- W1485179637 cites W1580561995 @default.
- W1485179637 cites W1584736402 @default.
- W1485179637 cites W1965846457 @default.
- W1485179637 cites W1971588171 @default.
- W1485179637 cites W1976020937 @default.
- W1485179637 cites W1977825281 @default.
- W1485179637 cites W1991567646 @default.
- W1485179637 cites W1993357320 @default.
- W1485179637 cites W1996914119 @default.
- W1485179637 cites W2013033162 @default.
- W1485179637 cites W2019746656 @default.
- W1485179637 cites W2026699941 @default.
- W1485179637 cites W2038509694 @default.
- W1485179637 cites W2038828295 @default.
- W1485179637 cites W2041550349 @default.
- W1485179637 cites W2050777959 @default.
- W1485179637 cites W2068629725 @default.
- W1485179637 cites W2076057077 @default.
- W1485179637 cites W2089861335 @default.
- W1485179637 cites W2092784029 @default.
- W1485179637 cites W2149238010 @default.
- W1485179637 cites W2158448835 @default.
- W1485179637 cites W2162821851 @default.
- W1485179637 cites W2162976621 @default.
- W1485179637 cites W2168175751 @default.
- W1485179637 cites W2170131042 @default.
- W1485179637 cites W2171451979 @default.
- W1485179637 cites W3021444882 @default.
- W1485179637 cites W3121220618 @default.
- W1485179637 cites W3122150532 @default.
- W1485179637 cites W3122511407 @default.
- W1485179637 cites W3124565415 @default.
- W1485179637 cites W3124682276 @default.
- W1485179637 cites W3124893256 @default.
- W1485179637 cites W3125050320 @default.
- W1485179637 cites W3125856767 @default.
- W1485179637 cites W1974496993 @default.
- W1485179637 doi "https://doi.org/10.2139/ssrn.218728" @default.
- W1485179637 hasPublicationYear "2000" @default.
- W1485179637 type Work @default.
- W1485179637 sameAs 1485179637 @default.
- W1485179637 citedByCount "46" @default.
- W1485179637 countsByYear W14851796372012 @default.
- W1485179637 countsByYear W14851796372013 @default.
- W1485179637 countsByYear W14851796372014 @default.
- W1485179637 countsByYear W14851796372015 @default.
- W1485179637 countsByYear W14851796372016 @default.
- W1485179637 countsByYear W14851796372017 @default.
- W1485179637 crossrefType "journal-article" @default.
- W1485179637 hasAuthorship W1485179637A5009163883 @default.
- W1485179637 hasAuthorship W1485179637A5013335795 @default.
- W1485179637 hasAuthorship W1485179637A5052512260 @default.
- W1485179637 hasConcept C121332964 @default.
- W1485179637 hasConcept C144237770 @default.
- W1485179637 hasConcept C149782125 @default.
- W1485179637 hasConcept C33923547 @default.
- W1485179637 hasConcept C41008148 @default.
- W1485179637 hasConcept C61797465 @default.
- W1485179637 hasConcept C62520636 @default.
- W1485179637 hasConceptScore W1485179637C121332964 @default.
- W1485179637 hasConceptScore W1485179637C144237770 @default.
- W1485179637 hasConceptScore W1485179637C149782125 @default.
- W1485179637 hasConceptScore W1485179637C33923547 @default.
- W1485179637 hasConceptScore W1485179637C41008148 @default.
- W1485179637 hasConceptScore W1485179637C61797465 @default.
- W1485179637 hasConceptScore W1485179637C62520636 @default.
- W1485179637 hasLocation W14851796371 @default.
- W1485179637 hasOpenAccess W1485179637 @default.
- W1485179637 hasPrimaryLocation W14851796371 @default.
- W1485179637 hasRelatedWork W1587224694 @default.
- W1485179637 hasRelatedWork W1979597421 @default.
- W1485179637 hasRelatedWork W2007980826 @default.
- W1485179637 hasRelatedWork W2061531152 @default.
- W1485179637 hasRelatedWork W2077600819 @default.
- W1485179637 hasRelatedWork W2748952813 @default.
- W1485179637 hasRelatedWork W2899084033 @default.
- W1485179637 hasRelatedWork W3002753104 @default.
- W1485179637 hasRelatedWork W4225152035 @default.
- W1485179637 hasRelatedWork W4245490552 @default.
- W1485179637 isParatext "false" @default.
- W1485179637 isRetracted "false" @default.
- W1485179637 magId "1485179637" @default.
- W1485179637 workType "article" @default.