Phenomenology of the Interest Rate Curve

@inproceedings{Bouchaud1997PhenomenologyOT,
  title={Phenomenology of the Interest Rate Curve},
  author={Jean-Philippe Bouchaud and Rama Cont and Nicole El-Karoui and Marc Potters and Nicolas Sagna},
  year={1997}
}
This paper contains a phenomenological description of the whole U.S. forward rate curve (frc), based on an data in the period 19901996. 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 volatility. This suggests that forward rate market prices include a risk premium, comparable to the probable changes of the spot rate between now and maturity, which can 
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