Y_Fit

Model-implied yields (cross-section)

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

Y_Fit function

<dl><dt>ALoad</dt>
<dd>A loadings</dd>
<dt>BLoad</dt>
<dd>B loadings</dd>
<dt>Spa_TS</dt>
<dd>time series of spanned factors</dd>
<dt>MatLength</dt>
<dd>length of the vector of maturities</dd>
<dt>TDim</dt>
<dd>Time-series dimension</dd>
<dt>YieldLab</dt>
<dd>Label of yields</dd></dl>

Arguments

Model-implied yields (cross-section) — Y_Fit

<dl>

<dt>ALoad</dt>
<dd>A loadings</dd>


<dt>BLoad</dt>
<dd>B loadings</dd>


<dt>Spa_TS</dt>
<dd>time series of spanned factors</dd>


<dt>MatLength</dt>
<dd>length of the vector of maturities</dd>


<dt>TDim</dt>
<dd>Time-series dimension</dd>


<dt>YieldLab</dt>
<dd>Label of yields</dd>

</dl>

Y_Fit: Model-implied yields (cross-section)

Description

Usage

Arguments