|
|||||
|
|
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach |
|
| Authors: | Jeffrey Andrew; Kristensen Dennis; Linton Oliver; Nguyen Thong; Phillips Peter C B |
| Abstract: | We propose a new nonparametric estimator for the volatilitystructure of the zero-coupon yield curve inside the Heath-Jarrow-Mortonframework. The estimator incorporates cross-sectional restrictionsalong the maturity dimension, and also allows for measurementerrors, which can arise from estimation of the yield curve fromnoisy data. The estimates are implemented with daily CRSP bonddata. |
| Keywords: | continuous-time estimation dynamic panel data model Heath-Jarrow-Morton model measurement errors nonparametric |
| 本文献已被 Oxford 等数据库收录！ | |