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. Copyright 2004, Oxford University Press.

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Year of publication:	2004
Authors:	Jeffrey, Andrew
Published in:	Journal of Financial Econometrics. - Society for Financial Econometrics - SoFiE, ISSN 1479-8409. - Vol. 2.2004, 2, p. 251-289
Publisher:	Society for Financial Econometrics - SoFiE

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005746390