A0N__computeBnAn_sepQ

Compute the cross-section loadings of yields of a canonical A0_N model ("sep Q" 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) <http://hdl.handle.net/2078.1/249985> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

A0N__computeBnAn_sepQ function

<dl><dt>mat</dt>
<dd>vector of maturities (J x 1). Maturities are in multiples of the discrete interval
used in the model</dd>
<dt>K1XQ</dt>
<dd>risk neutral feedback matrix (N x N)</dd>
<dt>dX</dt>
<dd>state loadings for the one-period rate (1xN). Default is a vector of ones</dd>
<dt>r0</dt>
<dd>the long run risk neutral mean of the short rate (scalar)</dd>
<dt>SSX</dt>
<dd>the covariance matrix of the errors (N x N)</dd></dl>

Arguments

Compute the cross-section loadings of yields of a canonical A0_N model ("sep Q" models) — A0N__computeBnAn_sepQ

<dl>

<dt>mat</dt>
<dd>vector of maturities (J x 1). Maturities are in multiples of the discrete interval
used in the model</dd>


<dt>K1XQ</dt>
<dd>risk neutral feedback matrix (N x N)</dd>


<dt>dX</dt>
<dd>state loadings for the one-period rate (1xN). Default is a vector of ones</dd>


<dt>r0</dt>
<dd>the long run risk neutral mean of the short rate (scalar)</dd>


<dt>SSX</dt>
<dd>the covariance matrix of the errors (N x N)</dd>

</dl>

A0N__computeBnAn_sepQ: Compute the cross-section loadings of yields of a canonical A0_N model ("sep Q" models)

Description

Usage

Value

Arguments

References