RMSEsep

Compute the root mean square error ("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) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

RMSEsep function

<dl><dt>ForecastOutputs</dt>
<dd>List of country-specific forecasts (see "ForecastYieldsSepQ" function)</dd></dl>

Arguments

Compute the root mean square error ("sep Q" models) — RMSEsep

<dl>

<dt>ForecastOutputs</dt>
<dd>List of country-specific forecasts (see "ForecastYieldsSepQ" function)</dd>

</dl>

RMSEsep: Compute the root mean square error ("sep Q" models)

Description

Usage

Arguments