多因素Heath-Jarrow-Morton模型的非参数估计:一种综合方法

delete Pub Date : 2001-07-01 DOI:10.1093/JJFINEC/NBH010

Andrew Jeffrey, O. Linton, Thong Nguyen, P. Phillips

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引用次数: 25

摘要

在Heath-Jarrow-Morton框架下，我们提出了零息债券收益率曲线波动结构的一种新的非参数估计量。估计器结合了沿成熟度维度的横截面限制，并且还允许测量误差，这可能是由噪声数据的收益率曲线估计引起的。这些估计是用每日的CRSP债券数据来实现的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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