Título:

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

Autores:

Frank de Jong (U Amsterdam)
Pedro Santa Clara (UCLA)

Revista:

Journal of Financial and Quantitative Analysis

Ano:

1999

Volume:

34

Páginas:

131-157

Códigos JEL:

E43 - Determination of Interest Rates; Term Structure of Interest Rates
G12 - Asset Pricing; Trading volume; Bond Interest Rates