CleanOrthoJLL_Boot

Clean unnecessary outputs of JLL models in the bootstrap setup

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

CleanOrthoJLL_Boot function

<dl><dt>ModelBootstrap</dt>
<dd>List of outputs to store bootstrap draws</dd>
<dt>ndraws</dt>
<dd>Total number of bootstrap draws</dd>
<dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated</dd></dl>

Arguments

Clean unnecessary outputs of JLL models in the bootstrap setup — CleanOrthoJLL_Boot

<dl>

<dt>ModelBootstrap</dt>
<dd>List of outputs to store bootstrap draws</dd>


<dt>ndraws</dt>
<dd>Total number of bootstrap draws</dd>


<dt>ModelType</dt>
<dd>A character vector indicating the model type to be estimated</dd>

</dl>

CleanOrthoJLL_Boot: Clean unnecessary outputs of JLL models in the bootstrap setup

Description

Usage

Arguments