A Dynamic Model for the Forward Curve
This paper develops and estimates a dynamic arbitrage-free model for the current forward curve as the sum of (i) an unconditional component, (ii) a maturity-specific component and (iii) a date-specific component. The model combines features of the Preferred Habitat model,the Expectation Hypothesis a...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2005
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2490 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3489/viewcontent/ChuaFosterRamaswamyStine.pdf |
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| Institution: | Singapore Management University |
| Language: | English |