BuildYields_BS

Build the time-series of bond yields for each bootstrap draw

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

BuildYields_BS function

<dl><dt>ModelParaPE</dt>
<dd>List of point estimates of the model parameter</dd>
<dt>ModelType</dt>
<dd>String-vector containing the label of the model to be estimated</dd>
<dt>RiskFactors_BS</dt>
<dd>Time-series of the risk factors (F x T)</dd>
<dt>BFull</dt>
<dd>B matrix of loadings</dd>
<dt>BS_Set</dt>
<dd>Set of bootstrap inputs</dd>
<dt>Economies</dt>
<dd>String-vector containing the names of the economies which are part of the economic system</dd></dl>

Arguments

Build the time-series of bond yields for each bootstrap draw — BuildYields_BS

<dl>

<dt>ModelParaPE</dt>
<dd>List of point estimates of the model parameter</dd>


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


<dt>RiskFactors_BS</dt>
<dd>Time-series of the risk factors (F x T)</dd>


<dt>BFull</dt>
<dd>B matrix of loadings</dd>


<dt>BS_Set</dt>
<dd>Set of bootstrap inputs</dd>


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

</dl>

BuildYields_BS: Build the time-series of bond yields for each bootstrap draw

Description

Usage

Arguments