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

We develop a nonparametric estimator for the volatility structure of the zero coupon yield curve in the Heath, Jarrow-Morton framework. The estimator incorporates cross-sectional restrictions along the maturity dimension, and also allows for measurement errors, which arise from the estimation of the yield curve from noisy data. The estimates are implemented with daily CRSP bond data

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Year of publication:	[2003]
Authors:	Jeffrey, Andrew
Other Persons:	Linton, Oliver (contributor) ; Nguyen, Thong (contributor) ; Phillips, Peter C. B. (contributor)
Publisher:	[2003]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (48 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 2001 erstellt
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012786925