BUnspannedAdapSep

Transform B_spanned into B_unspanned for sepQ 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

BUnspannedAdapSep function

<dl><dt>G</dt>
<dd>number of global unspanned factors</dd>
<dt>M</dt>
<dd>number of domestic unspanned factors per country</dd>
<dt>ModelPara_Short</dt>
<dd>list of model parameter estimates (See the "Optimization" function)</dd>
<dt>Economies</dt>
<dd>complet set of economies of the economic system</dd>
<dt>Economy</dt>
<dd>specific economy under study</dd>
<dt>ModelType</dt>
<dd>a string-vector containing the label of the model to be estimated</dd></dl>

Arguments

Transform B_spanned into B_unspanned for sepQ models — BUnspannedAdapSep

<dl>

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


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


<dt>ModelPara_Short</dt>
<dd>list of model parameter estimates (See the "Optimization" function)</dd>


<dt>Economies</dt>
<dd>complet set of economies of the economic system</dd>


<dt>Economy</dt>
<dd>specific economy under study</dd>


<dt>ModelType</dt>
<dd>a string-vector containing the label of the model to be estimated</dd>

</dl>

BUnspannedAdapSep: Transform B_spanned into B_unspanned for sepQ models

Description

Usage

Arguments