Jeffrey, Andrew; Linton, Oliver Linton; Nguyen, Thong; … - Cowles Foundation for Research in Economics, Yale University - 2001
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...