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“String” formulation of the dynamics of the forward interest rate curve

✍ Scribed by D. Sornette

Book ID
118790786
Publisher
Springer
Year
1998
Tongue
English
Weight
351 KB
Volume
3
Category
Article
ISSN
1434-6036

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✍ Xingguo Luo; Jin E. Zhang 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 971 KB

## Abstract In this article, we look at study the dynamics of forward rates with maturities longer than 14 years. We re‐document the phenomenon of the downward sloping long forward rate term structure using U.S. Treasury STRIPS data over the period 1988 to 2007. By calibrating Diebold F. X. and Li