Empirical Tests of Two State-Variable Heath-Jarrow-Morton Models
实证检验了Ritchken和Sankarasubramanian提出的有限状态变量HJM利率模型，使用1982-94年美国国债数据，发现该模型能较好拟合收益率曲线各期限的波动结构，且未发现波动率驼峰。
Models for pricing interest rate claims, developed under the Heath-Jarrow-Morton paradigm, differ according to the volatility structure imposed on forward rates. For most general HJM structures the resultant path dependence creates implementation problems. Ritchken and Sankarasubramanian have recently identified necessary and sufficient conditions on the class of volatility structures of forward rates that enable the term structure dynamics to be captured by a finite set of state variables. The class is quite rich. The instantaneous spot rate volatility may be quite general, but the model curtails the structure of forward rate volatilities relative to this spot rate volatility. This article provides empirical tests for this class of volatility structures. Unlike other studies, the volatility structure is examined over a broad section of maturities in the yield curve. Using Treasury data over the period 1982-94, we find support for this class. Furthermore, unlike other studies, no evidence of a 'volatility' hump is identified. Copyright 1996 by Ohio State University Press.