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cond-mat1999
Explaining the Forward Interest Rate Term Structure
Andrew Matacz, Jean-Philippe Bouchaud
We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (FRC) term structure. We find that the average FRC follows a square-root law, with a pre…
cond-mat1999
An Empirical Investigation of the Forward Interest Rate Term Structure
Andrew Matacz, Jean-Philippe Bouchaud
In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate…