## Generalized Method of Moments Estimation of Heath-Jarrow-Morton Models of Interest-rate Contingent Claims |

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Amin and Morton Andrew Morton at-the-money Bank of Atlanta bond prices Bossaerts and Hillion Cohen and Heath constant proportional model Constant Proportional Volatility covariance matrix Curves Exponential Proportional Curves Forward Rate d.o.f. p-value x2 Eurodollar Exponential Proportional HJM exponential proportional model Exponential Proportional Volatility Federal Reserve Bank Flesaker's forward rate curve forward rate models forward rate processes forward rate volatility futures contract futures price given in parentheses GMM estimation guWugu Heteroskedasticity-consistent statistics Ho-Lee model Hugh Cohen implied volatilities Interest-Rate Contingent Claims l,str Method of Moments model prices model the constant model the exponential moneyness option prices options on Treasury orthogonality conditions p-value x2 d.o.f. panel data pricing error vector Proportional and Exponential Proportional HJM Models Proportional Volatility Curves Rate and Forward Rate Volatility Curves regression restricted model specification test spot rate statistics are given strike price subperiods Treasury bond futures Treasury Securities volatility function volatility smile x2 d.o.f. p-value