K1XQStationary

Impose stationarity under the Q-measure

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

K1XQStationary function

<dl><dt>StationaryEigenvalues</dt>
<dd>Binary variable: set "1" if the user whises the largest eigenvalue
to be strictly smaller than 1. Set "0", otherwise</dd></dl>

Arguments

Impose stationarity under the Q-measure — K1XQStationary

<dl>

<dt>StationaryEigenvalues</dt>
<dd>Binary variable: set "1" if the user whises the largest eigenvalue
to be strictly smaller than 1. Set "0", otherwise</dd>

</dl>

K1XQStationary: Impose stationarity under the Q-measure

Description

Usage

Value

Arguments

Examples