Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; … - In: Applied Mathematical Finance 6 (1999) 3, pp. 209-232
The paper contains a phenomenological description of the whole US forward rate curve (FRC), based on data in the period 1990-1996. It is found that the average deviation of the FRC from the spot rate grows as the square-root of the maturity, with a prefactor which is comparable to the spot rate...
