Jordan_JLL

Check for JLL models for Jordan restrictions (auxiliary form)

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

Jordan_JLL function

<dl><dt>ParaValue</dt>
<dd>Constrained parameter value</dd>
<dt>C</dt>
<dd>number of countries of the economic system</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors</dd></dl>

Arguments

Check for JLL models for Jordan restrictions (auxiliary form) — Jordan_JLL

<dl>

<dt>ParaValue</dt>
<dd>Constrained parameter value</dd>


<dt>C</dt>
<dd>number of countries of the economic system</dd>


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

</dl>

Jordan_JLL: Check for JLL models for Jordan restrictions (auxiliary form)

Description

Usage

Arguments