Maturities

Create a vector of numerical maturities in years

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

Maturities function

<dl><dt>DataYields</dt>
<dd>matrix containing all yields of the system (JxT,if the model is single-country-based
or CJxT if the model is multy-country-based)</dd>
<dt>Economies</dt>
<dd>vector containing names of all the economies of the system</dd>
<dt>UnitYields</dt>
<dd>(i) "Month": if maturity of yields are expressed in months or
(ii) "Year": if maturity of yields are expressed in years</dd></dl>

Arguments

Create a vector of numerical maturities in years — Maturities

<dl>

<dt>DataYields</dt>
<dd>matrix containing all yields of the system (JxT,if the model is single-country-based
or CJxT if the model is multy-country-based)</dd>


<dt>Economies</dt>
<dd>vector containing names of all the economies of the system</dd>


<dt>UnitYields</dt>
<dd>(i) "Month": if maturity of yields are expressed in months or
(ii) "Year": if maturity of yields are expressed in years</dd>

</dl>

Maturities: Create a vector of numerical maturities in years

Description

Usage

Value

Arguments