BUnspannedAdapSep_BS

Obtain the full form of B unspanned for "sep Q" models within the bootstrap setting

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_BS function

<dl><dt>G</dt>
<dd>number of global unspanned factors</dd>
<dt>M</dt>
<dd>number of country-specific domestic unspanned factors</dd>
<dt>ModelParaBoot</dt>
<dd>list of model parameter estimates (see the "Optimization" function) after a bootstrap draw</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>Economy</dt>
<dd>string-vector containing the names of the economy under study</dd>
<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>tt</dt>
<dd>number of the bootstrap draw</dd></dl>

Arguments

Obtain the full form of B unspanned for "sep Q" models within the bootstrap setting — BUnspannedAdapSep_BS

<dl>

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


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


<dt>ModelParaBoot</dt>
<dd>list of model parameter estimates (see the "Optimization" function) after a bootstrap draw</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>


<dt>Economy</dt>
<dd>string-vector containing the names of the economy under study</dd>


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


<dt>tt</dt>
<dd>number of the bootstrap draw</dd>

</dl>

BUnspannedAdapSep_BS: Obtain the full form of B unspanned for "sep Q" models within the bootstrap setting

Description

Usage

Arguments