ComputeBounds_IRFandGIRF

Compute the confidence bounds from the model's numerical outputs

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

ComputeBounds_IRFandGIRF function

<dl><dt>ModelBootstrap</dt>
<dd>numerical output set from the bootstrap analysis</dd>
<dt>quants</dt>
<dd>quantile of the confidence bounds</dd>
<dt>FacDim</dt>
<dd>dimension of the risk factor set</dd>
<dt>YieDim</dt>
<dd>dimension of the bond yield set</dd>
<dt>ModelType</dt>
<dd>Desired model type</dd>
<dt>Economies</dt>
<dd>Economies that are part of the economic system</dd>
<dt>ndraws</dt>
<dd>number of draws selected</dd>
<dt>Horiz</dt>
<dd>horizon of numerical outputs</dd></dl>

Arguments

Compute the confidence bounds from the model's numerical outputs — ComputeBounds_IRFandGIRF

<dl>

<dt>ModelBootstrap</dt>
<dd>numerical output set from the bootstrap analysis</dd>


<dt>quants</dt>
<dd>quantile of the confidence bounds</dd>


<dt>FacDim</dt>
<dd>dimension of the risk factor set</dd>


<dt>YieDim</dt>
<dd>dimension of the bond yield set</dd>


<dt>ModelType</dt>
<dd>Desired model type</dd>


<dt>Economies</dt>
<dd>Economies that are part of the economic system</dd>


<dt>ndraws</dt>
<dd>number of draws selected</dd>


<dt>Horiz</dt>
<dd>horizon of numerical outputs</dd>

</dl>

ComputeBounds_IRFandGIRF: Compute the confidence bounds from the model's numerical outputs

Description

Usage

Arguments