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:	2001-07
Authors:	Jeffrey, Andrew ; Linton, Oliver Linton ; Nguyen, Thong ; Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Measurement error \| multifactor model \| nonparametric estimation \| volatility structure

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	CFP 1143. Published in Journal of Financial Econometrics (2004), 2(2): 251-289 The price is None Number 1311 47 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005464012