MarginalModelPara

Estimate the marginal model for the global factors

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

MarginalModelPara function

<dl><dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd></dl>

Arguments

Estimate the marginal model for the global factors — MarginalModelPara

<dl>

<dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd>

</dl>

MarginalModelPara: Estimate the marginal model for the global factors

Description

Usage

Arguments