Fit_Subplot

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

Fit_Subplot function

<dl><dt>YieldData</dt>
<dd>Time series of bond yields</dd>
<dt>ModelFit</dt>
<dd>Time series of fitted bond yields</dd>
<dt>ModelImplied</dt>
<dd>Time series of model-implied bond yields</dd>
<dt>MatLength</dt>
<dd>number of country-specific maturities</dd>
<dt>mat</dt>
<dd>vector of maturities</dd>
<dt>Economies</dt>
<dd>Economies of the economic system</dd>
<dt>ModelType</dt>
<dd>Desired estimated model</dd>
<dt>PathsGraphs</dt>
<dd>Path to save the graphs</dd></dl>

Arguments

Build subplot for fitted yields — Fit_Subplot

<dl>

<dt>YieldData</dt>
<dd>Time series of bond yields</dd>


<dt>ModelFit</dt>
<dd>Time series of fitted bond yields</dd>


<dt>ModelImplied</dt>
<dd>Time series of model-implied bond yields</dd>


<dt>MatLength</dt>
<dd>number of country-specific maturities</dd>


<dt>mat</dt>
<dd>vector of maturities</dd>


<dt>Economies</dt>
<dd>Economies of the economic system</dd>


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


<dt>PathsGraphs</dt>
<dd>Path to save the graphs</dd>

</dl>

Fit_Subplot: Build subplot for fitted yields

Description

Usage

Arguments