The dynamics of the forward interest rate curve

A formulation with state variables

    Research output: Contribution to journalArticleScientificpeer-review

    Original languageEnglish
    Pages (from-to)131-157
    Number of pages26
    JournalJournal of Financial and Quantitative Analysis
    Volume34
    Issue number1
    Publication statusPublished - 1999

    Cite this

    @article{cecd88216c8140dea8cdbdebdf36e2aa,
    title = "The dynamics of the forward interest rate curve: A formulation with state variables",
    author = "{de Jong}, F.C.J.M.",
    note = "Pagination: 26",
    year = "1999",
    language = "English",
    volume = "34",
    pages = "131--157",
    journal = "Journal of Financial and Quantitative Analysis",
    issn = "0022-1090",
    publisher = "Cambridge University Press",
    number = "1",

    }

    The dynamics of the forward interest rate curve : A formulation with state variables. / de Jong, F.C.J.M.

    In: Journal of Financial and Quantitative Analysis, Vol. 34, No. 1, 1999, p. 131-157.

    Research output: Contribution to journalArticleScientificpeer-review

    TY - JOUR

    T1 - The dynamics of the forward interest rate curve

    T2 - A formulation with state variables

    AU - de Jong, F.C.J.M.

    N1 - Pagination: 26

    PY - 1999

    Y1 - 1999

    M3 - Article

    VL - 34

    SP - 131

    EP - 157

    JO - Journal of Financial and Quantitative Analysis

    JF - Journal of Financial and Quantitative Analysis

    SN - 0022-1090

    IS - 1

    ER -