Work

The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables

Year: 1999

Type: article

Source: Journal of Financial and Quantitative Analysis

DOI: 10.2307/2676249

Authors: Frank de Jong, Pedro Santa-Clara

Institutions: University of Amsterdam, University of California, Los Angeles

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2140030195

FWCI: 11.69

Cites: 26

Cited by: 97

Related to: 10