Title:

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

Authors:

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

Journal:

Journal Of Financial And Quantitative Analysis

Year:

1999

Volume:

34

Pages:

131-157

JEL codes:

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