Quadratic Term Structure Models: Theory and Evidence

Review of Financial Studies

Volumn 15, Issue 1, 2002, Pages 243-288

  Ahn, Dong Hyun ^a,d   Dittmar, Robert F ^b   Gallant, A Ronald ^c  

^a Korea University   (South Korea)

^b INDIANA UNIVERSITY   (United States)

^c UNIVERSITY OF NORTH CAROLINA   (United States)

^d UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036109898     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/15.1.243     Document Type: Review

References (46)

1. Ahn, D.-H., 1995, "A Generalized Squared Autoregressive Intertemporal Term Structure Model," working paper, University of North Carolina, Chapel Hill.
2. Ahn, D.-H., and B. Gao, 1999, "A Parametric Nonlinear Model of Term Structure Dynamics," Review of Financial Studies, 12, 721-762.
3. Aït-Sahalia, Y., 1996a, "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, 64, 527-560.
4. Aït-Sahalia, Y., 1996b, "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, 9, 385-426.
5. Andersen, T., and J. Lund, 1997, "Estimating Continuous-Time Stochastic Volatility Models of the Short-Term Interest Rate," Journal of Econometrics, 77, 343-377.
6. Balduzzi, P., S. Das, S. Foresi, and R. Sundaram, 1996, "A Simple Approach to Three Factor Affine Models of the Term Structure," Journal of Fixed Income, 6, 43-53.
7. Beaglehole, D., and M. Tenney, 1991, "General Solutions of Some Interest Rate-Contingent Claim Pricing Equations," Journal of Fixed Income, 1, 69-83.
8. Beaglehole, D., and M. Tenney, 1992, "A Nonlinear Equilibrium Model of the Term Structure of Interest Rates: Corrections and Additions," Journal of Financial Economics, 32, 345-454.
9. Chapman, D., J. Long, and N. Pearson, 1999, "Using Proxies for the Short Rate: When Are Three Months Like an Instant?," Review of Financial Studies, 12, 763-806.
10. Chapman, D., and N. Pearson, 2000, "Is the Short Rate Drift Actually Nonlinear?," Journal of Finance, 55, 355-388.
11. Chen, L., 1996, Stochastic Mean and Stochastic Volatility - A Three-Factor Model of the Term Structure of Interest Rates and its Application to the Pricing of Interest Rate Derivatives, Blackwell Publishers, Oxford, UK.
12. Chen, R.-R., and L. Scott, 1992, "Pricing Interest Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure," Review of Financial Studies, 5, 613-636.
13. Claessens, S., and G. Pennachi, 1996, "Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds," Journal of Financial and Quantitative Analysis, 31, 109-126.
14. Constantinides, G., 1992, "A Theory of the Nominal Structure of Interest Rates," Review of Financial Studies, 5, 531-552.
15. Cox, J., J. Ingersoll, and S. Ross, 1985a, "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, 53, 363-384.
16. Cox, J., J. Ingersoll, and S. Ross, 1985b, "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-406.
17. Dai, Q., and K. Singleton, 2000, "Specification Analysis of Affine Term Structure Models," Journal of Finance, 55, 1943-1978.
18. Dai, Q., and K. Singleton, 2001, "Expectations Puzzles, Time-Varying Risk Premia, and Dynamic Models of the Term Structure," working paper, Stanford University.
19. Duffee, G., 2000, "Term Premia and Interest Rate Forecasts in Affine Models," working paper, University of California, Berkeley.
20. Duffie, D., and R. Kan, 1996, "A Yield-Factor Model of Interest Rates," Mathematical Finance, 6, 379-406.
21. Duffie, D., and K. Singleton, 1997, "An Econometric Model of the Term Structure of Interest Rates," Journal of Finance, 52, 1287-1321.
22. Gallant, A. R., and J. Long, 1997, "Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Squared," Biometrika, 84, 125-141.
23. Gallant, A. R., and G. Tauchen, 1989, "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Implications," Econometrica, 57, 1091-1120.
24. Gallant, A. R., and G. Tauchen, 1996, "Which Moments to Match, " Econometric Theory, 12, 657-681.
25. Gallant, A. R., and G. Tauchen, 1997, "SNP: A Program for Nonparametric Time Series Analysis," working paper, Duke University.
26. Gallant, A. R., and G. Tauchen, 1998, "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions," Journal of the American Statistical Association, 93, 10-24.
27. Gourieroux, C., A. Monfort, and E. Renault, 1993, "Indirect Inference," Journal of Applied Econometrics, 8, 85-118.
28. Hansen, L. P., and S. Richard, 1987, "The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models," Econometrica, 55, 587-614.
29. Harrison, M., and D. Kreps, 1979, "Martingales and Arbitrage in Multiperiod Security Markets," Journal of Economic Theory, 20, 381-408.
30. Harrison, M., and S. Pliska, 1981, "Martingales and Stochastic Integrals in the Theory of Continuous Trading," Stochastic Processes and Their Applications, 11, 215-260.
31. Jegadeesh, N., and G. Pennachi, 1996, "The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures," Journal of Money. Credit, and Banking, 26, 426-446.
32. Johnson, N., and S. Kotz, 1970, Continuous Univariate Distributions, Houghton Mifflin, New York.
33. Karatzas, I., and S. Shreve, 1991, Brownian Motion and Stochastic Calculus, Springer-Verlag, New York.
34. Karuoi, N. E., R. Myneni, and R. Viswanathan, 1992, "Arbitrage Pricing and Hedging of Interest Rate Claims with State Variables: I. Theory," working paper, Universitè de Paris VI and Stanford University.
35. Kitagawa, G., 1987, "Non-Gaussian State-Space Modeling of Nonstationary Time Series," Journal of the American Statistical Association, 82, 1032-1063.
36. Knez, P., R. Litterman, and I. Scheinkman, 1996, "Explorations into Factors Explaining Money Market Returns," Journal of Finance, 49, 1861-1882.
37. Langetieg, T., 1980, "A Multivariate Model of the Term Structure," Journal of Finance, 35, 71-97.
38. Longstaff, F., 1989, "A Nonlinear General Equilibrium Model of the Term Structure of Interest Rates," Journal of Finance, 23, 1259-1282.
39. Longstaff, F., and E. Schwartz, 1992, "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, 47, 1259-1282.
40. Lu, B., 1999, "An Empirical Analysis of the Constantinides Model of the Term Structure," working paper, University of Michigan.
41. McCnlloch, J. H., and H. Kwon, 1993, "U.S. Term Structure Data, 1947-1991," working paper, Ohio State University.
42. Pearson, N., and T.-S. Sun, 1994, "Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model," Journal of Finance, 49, 1279-1304.
43. Schwarz, G., 1978, "Estimating the Dimension of a Model," Annals of Statistics, 6, 461-464.
44. Stanton, R., 1997, "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, 52, 1973-2002.
45. Sun, T.-S., 1992, "Real and Nominal Interest Rates: A Discrete-Time Model and its Continuous Time Limit," Review of Financial Studies, 5, 581-612.
46. Vasicek, O., 1977, "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, 5, 177-188.