Andrew Jeffrey

Yale School of Management

Assistant Professor of Finance

135 Prospect Street

P.O. Box 208200

New Haven, CT 06520-8200

United States

SCHOLARLY PAPERS

5

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CITATIONS
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10

Scholarly Papers (5)

1.

Duration, Convexity and Higher Order Hedging (Revisited)

Yale SOM Working Paper No. ICF - 00-22
Number of pages: 43 Posted: 19 Feb 2001
Andrew Jeffrey
Yale School of Management
Downloads 1,641 (7,166)
Citation 2

Abstract:

2.

Flexible Term Structure Estimation: Which Method Is Preferred?

Yale ICF Working Paper No. 00-25
Number of pages: 42 Posted: 08 Feb 2001
Andrew Jeffrey, Oliver B. Linton and Thong Nguyen
Yale School of Management, University of Cambridge and affiliation not provided to SSRN
Downloads 1,015 (15,550)
Citation 4

Abstract:

Term Structure, yield curve estimation, curve fitting

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach

Yale Cowles Foundation Discussion Paper No. 1311
Number of pages: 48 Posted: 25 Aug 2001
Yale School of Management, University of Cambridge, affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 276 (86,017)
Citation 4

Abstract:

Measurement Error, Multifactor Model, Nonparametric Estimation, Volatility Structure

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 251-289, 2004
Posted: 29 Feb 2008
Yale School of Management, University College London, University of Cambridge, AlphaSimplex Group and Yale University - Cowles Foundation

Abstract:

continuous-time estimation, dynamic panel data model, Heath-Jarrow-Morton model, measurement errors, nonparametric

4.

Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol. 30 No. 4, December 1995
Posted: 13 Dec 1995
Andrew Jeffrey
Yale School of Management

Abstract:

5.

Construction of a Single Factor Heath-Jarrow-Morton Term Structure Model

Posted: 16 Mar 1995
Andrew Jeffrey
Yale School of Management

Abstract: