Abstract
In this paper, we propose a new specification of the forward rate model of Heath, Jarrow and Morton [5] and apply it to the Japanese 3 month interest rate futures. Our empirical result shows that the model we propose can capture the forward interest rate movement.
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Kamizono, K., Kariya, T. An implementation of the HJM model with application to Japanese interest futures. Financial Engineering and the Japanese Markets 3, 151–170 (1996). https://doi.org/10.1007/BF00868084
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DOI: https://doi.org/10.1007/BF00868084