ImposeStat_True

Makes sure that the stationary constraint under the risk-neutral measure is preserved

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 (2024, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

ImposeStat_True function

<dl><dt>x</dt>
<dd>parameter of interest (scalar or matrix)</dd>
<dt>K1Q</dt>
<dd>risk-neutral feedback matrix</dd></dl>

Arguments

Makes sure that the stationary constraint under the risk-neutral measure is preserved — ImposeStat_True

<dl>

<dt>x</dt>
<dd>parameter of interest (scalar or matrix)</dd>


<dt>K1Q</dt>
<dd>risk-neutral feedback matrix</dd>

</dl>

ImposeStat_True: Makes sure that the stationary constraint under the risk-neutral measure is preserved

Description

Usage

Arguments