An Empirical Investigation of the Forward Interest Rate Term Structure
نویسندگان
چکیده
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 Curve. In particular, the average frc follows a square-root law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation between the instantaneous frc and the past spot trend over a certain time horizon, in agreement with the idea of an extrapolated trend effect. We present a model which can be adequately calibrated to account for these effects.
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متن کاملco nd - m at / 9 90 93 96 28 S ep 1 99 9 Explaining the Forward Interest Rate Term Structure
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 squareroot law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation between the instantaneous frc and the past spot trend over a certain time horizon. This confirms the idea o...
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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 squareroot law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation between the instantaneous frc and the past spot trend over a certain time horizon. This confirms the idea o...
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