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Abstract: . We identify and characterize a class of term structure models where bond yields are quadratic functions of the Markov process. We label this class as the quadratic class and aim to lay a solid theoretical foundation for its future empirical application. We contribute to the literature in three aspects: (i) We identify the necessary and su#cient conditions for the quadratic class in terms of the Markov process, the instantaneous interest rate, and the pricing kernel. (ii) We characterize the... (Update)
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BibTeX entry: (Update)
@misc{ leippold-quadratic,
author = "Markus Leippold and Liuren Wu",
title = "Quadratic Term Structure Models",
url = "citeseer.ist.psu.edu/408719.html" }
Citations (may not include all citations):4 ne Asset Pricing Models Using the Empirical Characteristic F.. (context) - Singleton, Estimation - 1999
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