ModelParaEx

JPS-based model for Brazilian data

model

brazil

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

ModelParaEx function

list of inputs and outputs<dl>
 <dt>inputs</dt>
<dd>general model inputs</dd> <dt>ests</dt>
<dd>model parameters estimates (JPS form)</dd> <dt>llk</dt>
<dd>log-likelihood of the observations</dd> <dt>rot</dt>
<dd>model parameters estimates (rotation form)</dd> 
</dl>

Format

Example of parameter set after optimization — ModelParaEx

list of inputs and outputs<dl>
 <dt>inputs</dt>
<dd>general model inputs</dd>

 <dt>ests</dt>
<dd>model parameters estimates (JPS form)</dd>

 <dt>llk</dt>
<dd>log-likelihood of the observations</dd>

 <dt>rot</dt>
<dd>model parameters estimates (rotation form)</dd>

 
</dl>

ModelParaEx: Example of parameter set after optimization

Description

Usage

Arguments

Format