llk_JLL_Sigma

Build the log-likelihood function of the P-dynamics from the JLL-based models

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

llk_JLL_Sigma function

<dl><dt>VecPara</dt>
<dd>vector that contains all the non-zero entries of the lower-triangular part of the Cholesky factorization</dd>
<dt>res</dt>
<dd>residuals from the VAR of the JLL model (K x T)</dd>
<dt>IdxNONzero</dt>
<dd>vector that contains indexes of the matrix of the non-zero entries of the Cholesky factorization</dd>
<dt>K</dt>
<dd>dimensions of the variance-covariance matrix (scalar)</dd></dl>

Arguments

Build the log-likelihood function of the P-dynamics from the JLL-based models — llk_JLL_Sigma

<dl>

<dt>VecPara</dt>
<dd>vector that contains all the non-zero entries of the lower-triangular part of the Cholesky factorization</dd>


<dt>res</dt>
<dd>residuals from the VAR of the JLL model (K x T)</dd>


<dt>IdxNONzero</dt>
<dd>vector that contains indexes of the matrix of the non-zero entries of the Cholesky factorization</dd>


<dt>K</dt>
<dd>dimensions of the variance-covariance matrix (scalar)</dd>

</dl>

llk_JLL_Sigma: Build the log-likelihood function of the P-dynamics from the JLL-based models

Description

Usage

Value

Arguments