mult__prod

Efficient computation of matrix product for arrays

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

mult__prod function

<dl><dt>a</dt>
<dd>array</dd>
<dt>b</dt>
<dd>array</dd></dl>

Arguments

Efficient computation of matrix product for arrays — mult__prod

<dl>

<dt>a</dt>
<dd>array</dd>


<dt>b</dt>
<dd>array</dd>

</dl>

mult__prod: Efficient computation of matrix product for arrays

Description

Usage

Arguments

References