Yields

Yields data used in Candelon and Moura (forthcoming, JFEC)
Bond yield data used in Candelon and Moura (2023)

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

Yields function

matrix containing the Yields of the models
matrix containing the Yields of the models

Yields: Data: Yields - Candelon and Moura (forthcoming, JFEC)

Description

Usage

Arguments

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References