The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks.

A-Tier

Journal: The Review of Financial Studies

Year: 2001

Volume: 14

Issue: 1

Pages: 149-85

Authors (2)

Santa-Clara, Pedro (Universidade Nova de Lisboa) Sornette, Didier (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count