Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities
构建了一个非参数利率期限结构模型，允许正利率和无套利条件，利用美国数据估计，发现传统模型设定错误，且非参数模型显著改变期限结构和衍生品价格。
This paper develops a nonparametric model of interest rate term structure dynamics based on a spot rate process that permits only positive interest rates and a market price of interest rate risk that precludes arbitrage opportunities. Both the spot rate process and the mar? ket price of interest rate risk are nonparametrically specified so that the model allows for maximal flexibility in fitting into the data. Marginal density of interest rates and historical term structure data are exploited to provide robust estimation of the nonparametric term structure model. The model is implemented using U.S. data, and the estimation results are compared to those in the available literature. Empirical results not only provide strong evidence that most traditional spot rate models and market prices of interest rate risk are misspecified, but also confirm that the nonparametric model generates significantly differ? ent term structures and prices of common derivatives.