1. ,2) model satisfies this requirement for the risk-adjusted intercepts across all maturities. The LRSQ(3,2) model performs in general also better than the other models for the risk-adjusted slope coefficients at the ZLB, where the estimate is insignificant for the 10-year bond yield, but not at shorter maturities;D.-H References;Quadratic Term Structure Models: Theory and Evidence,2002
2. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models;T G Andersen;The Journal of Finance,2010