Non-parametric estimation of multi-factor Heath Jarrow Morton term structure models
Jeffrey, Andrew; Kristensen, Dennis; Linton, Oliver; Nguyen, Thong; and Phillips, Peter C. B.
(2004)
Non-parametric estimation of multi-factor Heath Jarrow Morton term structure models.
Journal of Financial Econometrics, 2 (2).
pp. 251-289.
ISSN 1479-8409
| Item Type | Article |
|---|---|
| Departments |
STICERD Economics |
| DOI | 10.1093/jjfinec/nbh010 |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/1472 |