multiprod_2terms

computes matrix product for arrays a and b: c[,,i] = a[,,i] b[,,i]

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

multiprod_2terms function

<dl><dt>a</dt>
<dd>array (M x N x T)</dd>
<dt>b</dt>
<dd>array (N x K x T)</dd></dl>

Arguments

computes matrix product for arrays a and b:   c[,,i] = a[,,i] b[,,i] — multiprod_2terms

<dl>

<dt>a</dt>
<dd>array (M x N x T)</dd>


<dt>b</dt>
<dd>array (N x K x T)</dd>

</dl>

multiprod_2terms: computes matrix product for arrays a and b: c[,,i] = a[,,i] b[,,i]

Description

Usage

Value

Arguments

References