FFtemporary

Mean of the llk function used in the estimation of the selected ATSM

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

FFtemporary function

<dl><dt>xtemp</dt>
<dd>temporary vector of parameters to be estimated numerically</dd>
<dt>scaling_vector</dt>
<dd>scaling factor</dd>
<dt>FFvectorized</dt>
<dd>log-likelihood function</dd></dl>

Arguments

Mean of the llk function used in the estimation of the selected ATSM — FFtemporary

<dl>

<dt>xtemp</dt>
<dd>temporary vector of parameters to be estimated numerically</dd>


<dt>scaling_vector</dt>
<dd>scaling factor</dd>


<dt>FFvectorized</dt>
<dd>log-likelihood function</dd>

</dl>

FFtemporary: Mean of the llk function used in the estimation of the selected ATSM

Description

Usage

Arguments