ModelPara

Unspanned macro risk model outputs by the MultiATSM package

(2014)

outputs

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

ModelPara function

list of inputs and outputs<dl>
 <dt>inputs</dt>
<dd>general model inputs</dd> <dt>ests</dt>
<dd>model parameters estimates (JPS form)</dd> <dt>llk</dt>
<dd>log-likelihood of the observations</dd> <dt>rot</dt>
<dd>model parameters estimates (rotation form)</dd> 
</dl>

Format

Replications of the JPS (2014) outputs by the MultiATSM package — ModelPara

list of inputs and outputs<dl>
 <dt>inputs</dt>
<dd>general model inputs</dd>

 <dt>ests</dt>
<dd>model parameters estimates (JPS form)</dd>

 <dt>llk</dt>
<dd>log-likelihood of the observations</dd>

 <dt>rot</dt>
<dd>model parameters estimates (rotation form)</dd>

 
</dl>

ModelPara: Replications of the JPS (2014) outputs by the MultiATSM package

Description

Usage

Arguments

Format