Article1999

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

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Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

Frank de Jong, Pedro Santa-Clara, The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables, The Journal of Financial and Quantitative Analysis, Vol. 34, No. 1 (Mar., 1999), pp. 131-157

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1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2000Specification Analysis of Affine Term Structure Models 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1986Term Structure Movements and Pricing Interest Rate Contingent Claims 1979A continuous time approach to the pricing of bonds

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