Examining Performance of Quadratic Models of Term<br />Structure of Interest Rates

International audienceThe family of the Affine Term Structure of interest rate has been a lot<br />developed in the literature since the first work of Vasicek (1977) and Cox, Ingersoll and<br />Ross (1985b). Although their performances increase, they are still facing several difficulties<br />in their capacity to fully explain the behaviour of the Term Structure of interest rate. Some<br />of these issues are explain by the omission of non linear relation in the affine model (Dai<br />and Singleton, 1999). This paper is in the continuity of this reflexion. It presents, develops,<br />applies and discuses the quadratic model defined by Realdon (2006)