YieldQuantile_bs

Compute quantiles for model bond yield-related outputs

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

YieldQuantile_bs function

<dl><dt>DrawSet</dt>
<dd>Draw-specific set</dd>
<dt>LabIRF</dt>
<dd>vector containing the labels "IRF" and "GIRF"</dd>
<dt>ndraws</dt>
<dd>number of draws</dd>
<dt>quants</dt>
<dd>quantile of the confidence bounds</dd>
<dt>Horiz</dt>
<dd>horizon of numerical outputs</dd>
<dt>FacDim</dt>
<dd>dimension of the risk factor set</dd>
<dt>YieDim</dt>
<dd>dimension of the bond yield set</dd>
<dt>LabelsYies</dt>
<dd>labels of the factor set</dd>
<dt>ModelType</dt>
<dd>desired model type</dd>
<dt>Ortho</dt>
<dd>Orthogonolized version for the JLL models. Default is FALSE.</dd></dl>

Arguments

Compute quantiles for model bond yield-related outputs — YieldQuantile_bs

<dl>

<dt>DrawSet</dt>
<dd>Draw-specific set</dd>


<dt>LabIRF</dt>
<dd>vector containing the labels "IRF" and "GIRF"</dd>


<dt>ndraws</dt>
<dd>number of draws</dd>


<dt>quants</dt>
<dd>quantile of the confidence bounds</dd>


<dt>Horiz</dt>
<dd>horizon of numerical outputs</dd>


<dt>FacDim</dt>
<dd>dimension of the risk factor set</dd>


<dt>YieDim</dt>
<dd>dimension of the bond yield set</dd>


<dt>LabelsYies</dt>
<dd>labels of the factor set</dd>


<dt>ModelType</dt>
<dd>desired model type</dd>


<dt>Ortho</dt>
<dd>Orthogonolized version for the JLL models. Default is FALSE.</dd>

</dl>

YieldQuantile_bs: Compute quantiles for model bond yield-related outputs

Description

Usage

Arguments