Chua, Choong Tze; Foster, Dean; Ramaswamy, Krishna; … - In: Review of Financial Studies 21 (2008) 1, pp. 265-310
This article develops and estimates a dynamic arbitrage-free model of the current forward curve as the sum of (i) an unconditional component, (ii) a maturity-specific component and (iii) a date-specific component. The model combines features of the Preferred Habitat model, the Expectations...
