Title

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

Document Type

Discussion Paper

Publication Date

7-1-2001

CFDP Number

1311

CFDP Pages

47

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.

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