An implementation of the HJM model with application to Japanese interest futures |
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| Authors: | Kenji Kamizono Takeaki Kariya |
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| Affiliation: | (1) Department of Economics, Hitotsubashi University, Japan;(2) Institute of Economic Research, Hitotsubashi University, 186 Kunitachi, Tokyo, Japan |
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| Abstract: | In this paper, we propose a new specification of the forward rate model of Heath, Jarrow and Morton [5] and apply it to the Japanese 3 month interest rate futures. Our empirical result shows that the model we propose can capture the forward interest rate movement. |
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| Keywords: | HJM model no-arbitrage term structure of interest rates interest futures |
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