Compute_BnX_AnX

Compute the latent loading AnX and BnX

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

Compute_BnX_AnX function

<dl><dt>mat</dt>
<dd>vector of maturities (J x 1). Maturities are in multiples of the discrete interval used in the model</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors</dd>
<dt>K1XQ</dt>
<dd>risk neutral feedback matrix (N x N)</dd>
<dt>r0</dt>
<dd>the long run risk neutral mean of the short rate (scalar)</dd>
<dt>dX</dt>
<dd>state loadings for the one-period rate (1xN). Default is a vector of ones</dd>
<dt>SSX</dt>
<dd>the covariance matrix of the errors (N x N)</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>Lab_SingleQ</dt>
<dd>string-vector containing the labels of the models estimated on a country-by-country basis</dd></dl>

Arguments

Compute the latent loading AnX and BnX — Compute_BnX_AnX

<dl>

<dt>mat</dt>
<dd>vector of maturities (J x 1). Maturities are in multiples of the discrete interval used in the model</dd>


<dt>N</dt>
<dd>number of country-specific spanned factors</dd>


<dt>K1XQ</dt>
<dd>risk neutral feedback matrix (N x N)</dd>


<dt>r0</dt>
<dd>the long run risk neutral mean of the short rate (scalar)</dd>


<dt>dX</dt>
<dd>state loadings for the one-period rate (1xN). Default is a vector of ones</dd>


<dt>SSX</dt>
<dd>the covariance matrix of the errors (N x N)</dd>


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


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


<dt>Lab_SingleQ</dt>
<dd>string-vector containing the labels of the models estimated on a country-by-country basis</dd>

</dl>

Compute_BnX_AnX: Compute the latent loading AnX and BnX

Description

Usage

Arguments