IRFandGIRFs_Format_Yields

Gather data for IRFs and GIRFs grahs (version "Yields")

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

IRFandGIRFs_Format_Yields function

<dl><dt>IRFYields</dt>
<dd>Data-frame with basic features of a single IRF for yields</dd></dl>

Arguments

Gather data for IRFs and GIRFs grahs (version "Yields") — IRFandGIRFs_Format_Yields

<dl>

<dt>IRFYields</dt>
<dd>Data-frame with basic features of a single IRF for yields</dd>

</dl>

IRFandGIRFs_Format_Yields: Gather data for IRFs and GIRFs grahs (version "Yields")

Description

Usage

Arguments