LoadData

Loads data sets from several papers

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

LoadData function

<dl><dt>DataPaper</dt>
<dd>Available options are <code>BR_2017</code> (Bauer and Rudebusch, 2017) , <code>CM_2023</code> (Candelon and Moura, 2023), <code>CM_2024</code> (Candelon and Moura, forthcoming)</dd></dl>

Arguments

Loads data sets from several papers — LoadData

<dl>

<dt>DataPaper</dt>
<dd>Available options are <code>BR_2017</code> (Bauer and Rudebusch, 2017) , <code>CM_2023</code> (Candelon and Moura, 2023), <code>CM_2024</code> (Candelon and Moura, forthcoming)</dd>

</dl>

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LoadData: Loads data sets from several papers

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Arguments

References

Examples