mult_inv_small

Inverse the (m,m,T) array of matrices for m&lt;=4

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

mult_inv_small function

<dl><dt>A</dt>
<dd>multi-dimensional array</dd></dl>

Arguments

Inverse the (m,m,T) array of matrices for m&lt;=4 — mult_inv_small

<dl>

<dt>A</dt>
<dd>multi-dimensional array</dd>

</dl>

mult_inv_small: Inverse the (m,m,T) array of matrices for m<=4

Description

Usage

Value

Arguments

Details

References