A dynamic model for the forward curve
This article develops and estimates a dynamic arbitrage-free model of 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 Expectations Hypothesi...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2492 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3491/viewcontent/A_Dynamic_Model_for_the_Forward_Curve__1_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |