df__dx

Computes numerical first order derivative of f(x)

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

df__dx function

<dl><dt>f</dt>
<dd>function which contains vector (J x T) valued function handle</dd>
<dt>x</dt>
<dd>parameter values</dd></dl>

Arguments

Computes numerical first order derivative of f(x) — df__dx

<dl>

<dt>f</dt>
<dd>function which contains vector (J x T) valued function handle</dd>


<dt>x</dt>
<dd>parameter values</dd>

</dl>

df__dx: Computes numerical first order derivative of f(x)

Description

Usage

Value

Arguments

References