YieldFor

Compile the bond yield forecast for any model type

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

YieldFor function

<dl><dt>ModelParaList</dt>
<dd>List of model parameter estimates</dd>
<dt>ForHoriz</dt>
<dd>Forecast horizon (scalar)</dd>
<dt>Economies</dt>
<dd>String-vector containing the names of the economies which are part of the economic system</dd>
<dt>FactorLabels</dt>
<dd>A string-list based which contains all the labels of all the variables present in the model</dd>
<dt>ForLabels</dt>
<dd>Forecast labels (string-based vector)</dd>
<dt>ModelType</dt>
<dd>A string-vector containing the label of the model to be estimated</dd></dl>

Arguments

Compile the bond yield forecast for any model type — YieldFor

<dl>

<dt>ModelParaList</dt>
<dd>List of model parameter estimates</dd>


<dt>ForHoriz</dt>
<dd>Forecast horizon (scalar)</dd>


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


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


<dt>ForLabels</dt>
<dd>Forecast labels (string-based vector)</dd>


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

</dl>

YieldFor: Compile the bond yield forecast for any model type

Description

Usage

Arguments