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Journal of Financial Econometrics Vol. 2, No. 2, pp. 251-289
© 2004 Oxford University Press; all rights reserved.

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

Andrew Jeffrey
     Yale School of Management

Dennis Kristensen
     London School of Economics

Oliver Linton
     London School of Economics

Thong Nguyen
     Alpha Simplex Group

Peter C. B. Phillips
     Yale University

Address correspondence to Oliver Linton, Department of Economics, London School of Economics, Houghton Street, London WC2A 2AE, UK, or e-mail: o.linton{at}lse.ac.uk

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.

KEYWORDS: continuous-time estimation, dynamic panel data model, Heath-Jarrow-Morton model, measurement errors, nonparametric

Received August 29, 2001; revised October 17, 2002; accepted January 12, 2004


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