Convert2JordanForm

Convert a generic matrix to its Jordan form

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

Convert2JordanForm function

<dl><dt>K1XQ</dt>
<dd>squared matrix in non-Jordan form</dd></dl>

Arguments

Convert a generic matrix to its Jordan form — Convert2JordanForm

<dl>

<dt>K1XQ</dt>
<dd>squared matrix in non-Jordan form</dd>

</dl>

Convert2JordanForm: Convert a generic matrix to its Jordan form

Description

Usage

Value

Arguments

Details

References