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Paper / 1999SMQ / 108541035004183
An Empirical Investigation of the Forward Interest Rate Term Structure
Andrew Matacz / Jean‐Philippe Bouchaud
fixed income / interest ratesResource overview

An Empirical Investigation of the Forward Interest Rate Term Structure

Paper1999

by Andrew Matacz, Jean‐Philippe Bouchaud

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fixed incomeinterest ratesterm structure models

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

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