Work

The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

Year: 2000

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.216455

Authors: Pedro Santa-Clara, Didier Sornette

Institutions: National Bureau of Economic Research, Centre for Economic Policy Research, NOVA School of Business and Economics, Tokyo Institute of Technology, Southern University of Science and Technology, ETH Zurich, Swiss Finance Institute

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2131206752

Cites: 25

Cited by: 47

Related to: 10