Nonparametric Estimation of aMultifactor Heath-Jarrow-Morton Model:

An Integrated Approach

By

Andrew Jeffrey, Oliver Linton,Thong Nguyen, and Peter C.B. Phillips

July 2001

COWLES FOUNDATION DISCUSSION PAPER No. 1311

COWLES FOUNDATION FOR RESEARCH IN ECONOMICSYALE UNIVERSITY

Box 208281New Haven, Connecticut 06520-8281

http://cowles.econ.yale.edu/

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