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

Jeffrey , Andrew; Linton, Oliver B.; Nguyen, Thong; Phillips, Peter C. B.

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

48 Pages Posted: 25 Aug 2001

See all articles by Andrew Jeffrey

Peter C. B. Phillips

University of Auckland Business School; Yale University - Cowles Foundation; Singapore Management University - School of Economics

There are 2 versions of this paper

Date Written: July 2001

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

JEL Classification: C22

Suggested Citation: Suggested Citation

Jeffrey, Andrew Mark and Linton, Oliver B. and Nguyen, Thong and Phillips, Peter C. B., Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach (July 2001). Available at SSRN: https://ssrn.com/abstract=278542