Reg_K1Q

Estimate the risk-neutral feedbak matrix K1Q using linear regressions

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

Reg_K1Q function

<dl><dt>Y</dt>
<dd>matrix of yields used in estimation (J x T)</dd>
<dt>mat</dt>
<dd>vector of maturities (in years) of yields used in estimation (J x 1)</dd>
<dt>Z</dt>
<dd>pricing factors (can be yields-based or non-yields/macro variables) (N x T)</dd>
<dt>dt</dt>
<dd>time unit of the model (scalar). For instance, if data is (i) monthly, dt &lt;- 12; (ii) quarterly, dt &lt;- 4; (iii) yearly, dt &lt;- 1.</dd>
<dt>type</dt>
<dd>'Jordan' -&gt; K1Q will be of the Jordan type </dd></dl>

Arguments

Estimate the risk-neutral feedbak matrix K1Q using linear regressions — Reg_K1Q

<dl>

<dt>Y</dt>
<dd>matrix of yields used in estimation (J x T)</dd>


<dt>mat</dt>
<dd>vector of maturities (in years) of yields used in estimation (J x 1)</dd>


<dt>Z</dt>
<dd>pricing factors (can be yields-based or non-yields/macro variables) (N x T)</dd>


<dt>dt</dt>
<dd>time unit of the model (scalar). For instance, if data is (i) monthly, dt &lt;- 12; (ii) quarterly, dt &lt;- 4; (iii) yearly, dt &lt;- 1.</dd>


<dt>type</dt>
<dd>'Jordan' -&gt; K1Q will be of the Jordan type </dd>

</dl>

Reg_K1Q: Estimate the risk-neutral feedbak matrix K1Q using linear regressions

Description

Usage

Value

Arguments

References