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Thong Nguyen Publications

Publish Date
Journal of Financial Econometrics
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