Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
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.
Jeffrey, Andrew; Linton, Oliver B.; Nguyen, Thong; and Phillips, Peter C.B., "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach" (2001). Cowles Foundation Discussion Papers. 1570.