Dybvig, Philip H; Ingersoll Jr., Jonathan E; Ross, Stephen A - In: The Journal of Business 69 (1996) 1, pp. 1-25
In frictionless markets having no arbitrage, the asymptotic zero-coupon rate never falls. The same is true of the long forward rate. The long par-coupon rate can rise and fall due to forward rate movements at short maturities. This article relates the three types of interest rates and formalizes...