文章基本信息

标题："Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach"
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作者：Andrew Jeffrey ; Oliver Linton ; Thong Nguyen 等
期刊名称：COWLES Foundation Discussion Paper / Cowles Foundation for Research in Economics
出版年度：2001
卷号：2001
期号：1
出版社：Yale University
摘要：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.
关键词：Measurement error; multifactor model; nonparametric estimation; volatility structure