ParaATSM_opt_ALL

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

ParaATSM_opt_ALL function

<dl><dt>Update_Temp</dt>
<dd>List of model parameter features updated</dd>
<dt>FF_opt</dt>
<dd>llk after optimization</dd>
<dt>AuxVecSet_opt</dt>
<dd>List containing features for estimation of several parameters after optimization</dd>
<dt>ParaLabels</dt>
<dd>Several variable labels</dd></dl>

Arguments

Update the list of parameters — ParaATSM_opt_ALL

<dl>

<dt>Update_Temp</dt>
<dd>List of model parameter features updated</dd>


<dt>FF_opt</dt>
<dd>llk after optimization</dd>


<dt>AuxVecSet_opt</dt>
<dd>List containing features for estimation of several parameters after optimization</dd>


<dt>ParaLabels</dt>
<dd>Several variable labels</dd>

</dl>

ParaATSM_opt_ALL: Update the list of parameters

Description

Usage

Arguments