Aux_PSD

Transformation of a PSD matrix (auxiliary form)

internal

Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (Forthcoming, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

Aux_PSD function

<dl><dt>ParaValue</dt>
<dd>Constrained parameter value</dd>
<dt>Const_Type</dt>
<dd>Type of constraint</dd></dl>

Arguments

Transformation of a PSD matrix (auxiliary form) — Aux_PSD

<dl>

<dt>ParaValue</dt>
<dd>Constrained parameter value</dd>


<dt>Const_Type</dt>
<dd>Type of constraint</dd>

</dl>

Aux_PSD: Transformation of a PSD matrix (auxiliary form)

Description

Usage

Arguments