Get_llk

Compute the log-likelihood function

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

Get_llk function

<dl><dt>P</dt>
<dd>time-series of spanned factors (N x T or CN x T)</dd>
<dt>Y</dt>
<dd>time-series of yields (J x T or CJ x T)</dd>
<dt>Z</dt>
<dd>time-series of risk factors (F x T)</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors</dd>
<dt>mat</dt>
<dd>vector of maturities (in years) of yields used in estimation (J x 1)</dd>
<dt>We</dt>
<dd>matrix of weights of the portfolios observed with errors ((J-N) x J or C(J-N) x CJ)</dd>
<dt>Wpca</dt>
<dd>matrix of weights of the portfolios observed without errors (N x J or CN x CJ)</dd>
<dt>K0Z</dt>
<dd>matrix of intercepts (P-dynamics)</dd>
<dt>K1Z</dt>
<dd>feedback matrix (P-dynamics)</dd>
<dt>SSZ</dt>
<dd>variance-covariance matrix (P-dynamics)</dd>
<dt>LoadBs</dt>
<dd>list containing the B loadings</dd>
<dt>LoadAs</dt>
<dd>list containing the A loadings</dd>
<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd></dl>

Arguments

Compute the log-likelihood function — Get_llk

<dl>

<dt>P</dt>
<dd>time-series of spanned factors (N x T or CN x T)</dd>


<dt>Y</dt>
<dd>time-series of yields (J x T or CJ x T)</dd>


<dt>Z</dt>
<dd>time-series of risk factors (F x T)</dd>


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


<dt>mat</dt>
<dd>vector of maturities (in years) of yields used in estimation (J x 1)</dd>


<dt>We</dt>
<dd>matrix of weights of the portfolios observed with errors ((J-N) x J or C(J-N) x CJ)</dd>


<dt>Wpca</dt>
<dd>matrix of weights of the portfolios observed without errors (N x J or CN x CJ)</dd>


<dt>K0Z</dt>
<dd>matrix of intercepts (P-dynamics)</dd>


<dt>K1Z</dt>
<dd>feedback matrix (P-dynamics)</dd>


<dt>SSZ</dt>
<dd>variance-covariance matrix (P-dynamics)</dd>


<dt>LoadBs</dt>
<dd>list containing the B loadings</dd>


<dt>LoadAs</dt>
<dd>list containing the A loadings</dd>


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

</dl>

Get_llk: Compute the log-likelihood function

Description

Usage

Arguments