  In this article we show how to analyze the covariation of bond prices
nonparametrically and robustly, staying consistent with a general no-arbitrage
setting. This is, in particular, motivated by the problem of identifying the
number of statistically relevant factors in the bond market under minimal
conditions. We apply this method in an empirical study which suggests that a
high number of factors is needed to describe the term structure evolution and
that the term structure of volatility varies over time.
