Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; … - Science & Finance - 1997
This paper contains a phenomenological description of the whole U.S. forward rate curve (FRC), based on an data in the period 1990-1996. We find that the average FRC (measured from the spot rate) grows as the square-root of the maturity, with a prefactor which is comparable to the spot rate...
