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

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Author Info
Andrew Jeffrey

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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.

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File URL: http://hdl.handle.net/10.1093/jjfinec/nbh010
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Publisher Info
Article provided by Oxford University Press in its journal Journal of Financial Econometrics.

Volume (Year): 2 (2004)
Issue (Month): 2 ()
Pages: 251-289
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Handle: RePEc:oup:jfinec:v:2:y:2004:i:2:p:251-289

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  1. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics. [Downloadable!]
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This page was last updated on 2009-12-4.

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