getx

Obtain the auxiliary values corresponding to each parameter, its size and its name

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

getx function

<dl><dt>con</dt>
<dd>If con = 'concentration' and a parameter's name contains '@', then its auxiliary value is set to empty</dd>
<dt>varargin</dt>
<dd>variable inputs used in the optimization (see "optimization" function)</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>FactorLabels</dt>
<dd>list of necessary inputs for the estimation of JLL-based models (see <code>JLL</code> function)</dd>
<dt>JLLinputs</dt>
<dd>Necessary inputs for the estimation of the JLL-based models</dd></dl>

Arguments

Obtain the auxiliary values corresponding to each parameter, its size and its name — getx

<dl>

<dt>con</dt>
<dd>If con = 'concentration' and a parameter's name contains '@', then its auxiliary value is set to empty</dd>


<dt>varargin</dt>
<dd>variable inputs used in the optimization (see "optimization" function)</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>


<dt>FactorLabels</dt>
<dd>list of necessary inputs for the estimation of JLL-based models (see <code>JLL</code> function)</dd>


<dt>JLLinputs</dt>
<dd>Necessary inputs for the estimation of the JLL-based models</dd>

</dl>

getx: Obtain the auxiliary values corresponding to each parameter, its size and its name

Description

Usage

Arguments

References