YieldsFitAll

Fit yields for all maturities of interest

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

YieldsFitAll function

<dl><dt>MatInt</dt>
<dd>numerical vector containing the fit maturities of interest</dd>
<dt>ModelPara</dt>
<dd>List of model parameter estimates (See the "Optimization" function)</dd>
<dt>FactorLabels</dt>
<dd>a string-list based which contains all the labels of all the variables present in the model</dd>
<dt>ModelType</dt>
<dd>a string-vector containing the label of the model to be estimated</dd>
<dt>Economies</dt>
<dd>a string-vector containing the names of the economies which are part of the economic system</dd>
<dt>YLab</dt>
<dd>Label of yields ("Months" or "Yields")</dd></dl>

Arguments

Fit yields for all maturities of interest — YieldsFitAll

<dl>

<dt>MatInt</dt>
<dd>numerical vector containing the fit maturities of interest</dd>


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


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


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


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


<dt>YLab</dt>
<dd>Label of yields ("Months" or "Yields")</dd>

</dl>

YieldsFitAll: Fit yields for all maturities of interest

Description

Usage

Arguments