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

Andrew Jeffrey, Oliver Linton, Thong Nguyen and Peter Phillips
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Andrew Jeffrey: Yale School of Management
Thong Nguyen: Bank of American Securities, San Francisco, CA

No 1311, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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.

Keywords: Measurement error; multifactor model; nonparametric estimation; volatility structure (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2001-07
Note: CFP 1143.
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Published in Journal of Financial Econometrics (2004), 2(2): 251-289

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