Example for illustration used in the package vignette

examples

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

Out function

several model classes<dl>
<dt>ModelParaList</dt>
<dd>List of parameter estimates of the selected ATSM</dd> <dt>ATSMinputs</dt>
<dd>General inputs from an ATSM</dd> <dt>Forecasts</dt>
<dd>List of forecast outputs</dd> 
</dl>

Format

Complete list of several outputs from an ATSM — Out

several model classes<dl>
<dt>ModelParaList</dt>
<dd>List of parameter estimates of the selected ATSM</dd>

 <dt>ATSMinputs</dt>
<dd>General inputs from an ATSM</dd>

 <dt>Forecasts</dt>
<dd>List of forecast outputs</dd>

 
</dl>

Out: Complete list of several outputs from an ATSM

Description

Usage

Arguments

Format