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 December 31, 2021

Donald R. van Deventer First Version: January 24, 2022 This Version: January 25, 2022   ABSTRACT Please note: Kamakura Corporation term structure models are updated monthly.  For the most recent set of coefficients, contact info@kamakuraco.com This paper analyzes the number and the nature of factors driving the movements in the U.S. Treasury yield curve from … 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 December 31, 2021