Update_SSZ_JLL

Update the variance-covariance matrix from the "JLL joint Sigma" model. Necessary for optimization

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

Update_SSZ_JLL function

<dl><dt>SSZ</dt>
<dd>Variance-covariance matrix from JLL model</dd>
<dt>Z</dt>
<dd>complete set of spanned and unspanned factors (F x T)</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors</dd>
<dt>JLLinputs</dt>
<dd>List of inputs from JLL models</dd></dl>

Arguments

Update the variance-covariance matrix from the "JLL joint Sigma" model. Necessary for optimization — Update_SSZ_JLL

<dl>

<dt>SSZ</dt>
<dd>Variance-covariance matrix from JLL model</dd>


<dt>Z</dt>
<dd>complete set of spanned and unspanned factors (F x T)</dd>


<dt>N</dt>
<dd>number of country-specific spanned factors</dd>


<dt>JLLinputs</dt>
<dd>List of inputs from JLL models</dd>

</dl>

Update_SSZ_JLL: Update the variance-covariance matrix from the "JLL joint Sigma" model. Necessary for optimization

Description

Usage

Arguments