Donald R. van Deventer[1] First Version: October 12, 2021 This Version: October 13, 2021 ABSTRACT Please note: Kamakura Corporation term structure models are updated monthly.  For the most recent set of coefficients, contact info@kamakuraco.com A PDF version of the paper is available here: This paper analyzes the number and the nature of factors driving the … Continue reading A 10-Factor Heath, Jarrow, and Morton Stochastic Volatility Model for the U.S. Treasury Yield Curve, Using Daily Data from January 1, 1962 through September 30, 2021