Getdt

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

Getdt function

<dl><dt>DataFrequency</dt>
<dd>single element character-based vector. Available options are: "Daily All Days", 
"Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually"</dd></dl>

Arguments

Get delta t — Getdt

<dl>

<dt>DataFrequency</dt>
<dd>single element character-based vector. Available options are: "Daily All Days", 
"Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually"</dd>

</dl>

Getdt: Get delta t

Description

Usage

Arguments