Cover Image

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model : An Integrated Approach

We propose a new nonparametric estimator for the volatility structure of the zero-coupon yield curve inside the Heath-Jarrow-Morton framework. The estimator incorporates cross-sectional restrictions along the maturity dimension, and also allows for measurement errors, which can arise from estimation of the yield curve from noisy data. The estimates are implemented with daily CRSP bond data
Year of publication:
[2010]
Authors: Jeffrey, Andrew
Other Persons: Kristensen, Dennis (contributor) ; Linton, Oliver (contributor) ; Nguyen, Thong (contributor) ; Phillips, Peter C. B. (contributor)
Publisher: [2010]: [S.l.] : SSRN
Description of contents: Abstract [papers.ssrn.com]
Check Google Scholar |
In German libraries (KVK)
I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10012761996
Similar items by person