AdjustYieldsDates

Makes sure that the time series of yields and risk factors have coincident sample spans

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

AdjustYieldsDates function

<dl><dt>Yields</dt>
<dd>time series of bond yields (CJ x T1 )</dd>
<dt>PdynamicsFactors</dt>
<dd>time series of risk factors (F x T2)</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies of the system.</dd></dl>

Arguments

Makes sure that the time series of yields and risk factors have coincident sample spans — AdjustYieldsDates

<dl>

<dt>Yields</dt>
<dd>time series of bond yields (CJ x T1 )</dd>


<dt>PdynamicsFactors</dt>
<dd>time series of risk factors (F x T2)</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies of the system.</dd>

</dl>

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AdjustYieldsDates: Makes sure that the time series of yields and risk factors have coincident sample spans

Description

Usage

Arguments