BUnspannedAdapJoint

Transform B_spanned into B_unspanned for jointQ models

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

BUnspannedAdapJoint function

<dl><dt>G</dt>
<dd>number of global unspanned factors</dd>
<dt>M</dt>
<dd>number of domestic unspanned factors</dd>
<dt>N</dt>
<dd>number of domestic spanned factors</dd>
<dt>C</dt>
<dd>number of economies of the economic system</dd>
<dt>J</dt>
<dd>number of country-specific observed bond yields</dd>
<dt>BSpanned</dt>
<dd>B that accomodates only the map to the spanned factors only</dd></dl>

Arguments

Transform B_spanned into B_unspanned for jointQ models — BUnspannedAdapJoint

<dl>

<dt>G</dt>
<dd>number of global unspanned factors</dd>


<dt>M</dt>
<dd>number of domestic unspanned factors</dd>


<dt>N</dt>
<dd>number of domestic spanned factors</dd>


<dt>C</dt>
<dd>number of economies of the economic system</dd>


<dt>J</dt>
<dd>number of country-specific observed bond yields</dd>


<dt>BSpanned</dt>
<dd>B that accomodates only the map to the spanned factors only</dd>

</dl>

BUnspannedAdapJoint: Transform B_spanned into B_unspanned for jointQ models

Description

Usage

Arguments