Chiarella, Carl; Hung, Hing; T, Thuy-Duong - In: Computational Statistics & Data Analysis 53 (2009) 6, pp. 2075-2088
The dynamics for interest rate processes within the well-known multi-factor Heath, Jarrow and Morton (HJM) specification are considered. Despite the flexibility of and the notable advances in theoretical research about the HJM model, the number of empirical studies of it is still very sparse....