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

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Year of publication:	[2010]
Authors:	Jeffrey, Andrew
Other Persons:	Kristensen, Dennis (contributor) ; Linton, Oliver B. (contributor) ; Nguyen, Thong (contributor) ; Phillips, Peter C. B. (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Journal of Financial Econometrics, Vol. 2, Issue 2, pp. 251-289, 2004 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2004 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012761996