The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables
在Heath-Jarrow-Morton框架下，用少量状态变量刻画利率期限结构的动态，并利用债券价格的时间序列和横截面数据进行估计，连接了传统利率动态模型与HJM横截面拟合模型。
The objective of this paper is twofold. First, the paper develops a class of models of the term structure of interest rates, in the Heath, Jarrow, and Morton (1992) framework, with dynamics characterized by the evolution of a small set of state variables. Second, the paper exploits this characterization of the dynamics of the term structure in an estimation exercise that makes use of both the time series and cross-section of bond prices. In this way, our class of models bridges the gap between traditional models, such as Cox, Ingersoll, and Ross (1985) and Vasicek (1977), that emphasize the dynamics of interest rates and the models of Heath, Jarrow, and Morton (1992) that stress fitting the cross-section of bond prices.