VarianceExplained

Percentage explained by the spanned factors of the variations in the set of observed yields for all models

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

VarianceExplained function

<dl><dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>ModelPara</dt>
<dd>List of model parameter estimates (see the "Optimization" function)</dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains all the labels of all the variables present in the model</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd></dl>

Arguments

Percentage explained by the spanned factors of the variations in the set of observed yields for all models — VarianceExplained

<dl>

<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>


<dt>ModelPara</dt>
<dd>List of model parameter estimates (see the "Optimization" function)</dd>


<dt>FactorLabels</dt>
<dd>string-list based which contains all the labels of all the variables present in the model</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>

</dl>

VarianceExplained: Percentage explained by the spanned factors of the variations in the set of observed yields for all models

Description

Usage

Arguments