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

Andrew Jeffrey
Authors registered in the RePEc Author Service: Dennis Kristensen

Journal of Financial Econometrics, 2004, vol. 2, issue 2, 251-289

Abstract: 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. Copyright 2004, Oxford University Press.

Date: 2004
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Citations: View citations in EconPapers (12)

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