An Empirical Investigation of the Forward Interest Rate Term Structure
| dc.creator | Matacz, Andrew | |
| dc.creator | Bouchaud, Jean-Philippe | |
| dc.date | 1999-07-20 | |
| dc.date.accessioned | 2026-07-07T03:13:57Z | |
| dc.date.available | 2026-07-07T03:13:57Z | |
| dc.description | In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate Curve. In particular, the average FRC follows a square-root law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation between the instantaneous FRC and the past spot trend over a certain time horizon, in agreement with the idea of an extrapolated trend effect. We present a model which can be adequately calibrated to account for these effects. | |
| dc.description | 34 pages, Latex + 17 EPS figures | |
| dc.identifier | https://arxiv.org/abs/cond-mat/9907297 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/9907297 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/29498 | |
| dc.subject | Condensed Matter | |
| dc.title | An Empirical Investigation of the Forward Interest Rate Term Structure | |
| dc.type | text |