FolderCreation_Boot

Creates folder to store graphs generated from the bootstrap analysis

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

FolderCreation_Boot function

<dl><dt>ModelType</dt>
<dd>Desired model type</dd>
<dt>LabIRF</dt>
<dd>Output types "IRF", "GIRF" and "IRF Ortho"</dd>
<dt>Economies</dt>
<dd>economies of the economic system</dd>
<dt>OutType</dt>
<dd>Available option "Factors" or "Yields</dd>
<dt>Folder2save</dt>
<dd>Folder path where the outputs will be stored.</dd>
<dt>Ortho</dt>
<dd>Option for orthogonal outputs, for JLL models. Default is FALSE.</dd></dl>

Arguments

Creates folder to store graphs generated from the bootstrap analysis — FolderCreation_Boot

<dl>

<dt>ModelType</dt>
<dd>Desired model type</dd>


<dt>LabIRF</dt>
<dd>Output types "IRF", "GIRF" and "IRF Ortho"</dd>


<dt>Economies</dt>
<dd>economies of the economic system</dd>


<dt>OutType</dt>
<dd>Available option "Factors" or "Yields</dd>


<dt>Folder2save</dt>
<dd>Folder path where the outputs will be stored.</dd>


<dt>Ortho</dt>
<dd>Option for orthogonal outputs, for JLL models. Default is FALSE.</dd>

</dl>

FolderCreation_Boot: Creates folder to store graphs generated from the bootstrap analysis

Description

Usage

Arguments