NumOutEx

Numerical outputs for JPS-based model using Brazilian data

model

numerical

outputs

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

NumOutEx function

list of inputs and outputs<dl>
 <dt>PC var explained</dt>
<dd>variance explained per spanned factor</dd> <dt>Fit</dt>
<dd>model fit of bond yields</dd> <dt>IRF</dt>
<dd>Impulse response function</dd> <dt>FEVD</dt>
<dd>Forecast error variance decomposition</dd> <dt>GIRF</dt>
<dd>Generalized impulse response function</dd> <dt>GFEVD</dt>
<dd>Generalized Forecast error variance decomposition</dd> <dt>TermPremiaDecomp</dt>
<dd>Term Premia decomposition</dd> 
</dl>

Format

Example of computed numerical outputs — NumOutEx

list of inputs and outputs<dl>
 <dt>PC var explained</dt>
<dd>variance explained per spanned factor</dd>

 <dt>Fit</dt>
<dd>model fit of bond yields</dd>

 <dt>IRF</dt>
<dd>Impulse response function</dd>

 <dt>FEVD</dt>
<dd>Forecast error variance decomposition</dd>

 <dt>GIRF</dt>
<dd>Generalized impulse response function</dd>

 <dt>GFEVD</dt>
<dd>Generalized Forecast error variance decomposition</dd>

 <dt>TermPremiaDecomp</dt>
<dd>Term Premia decomposition</dd>

 
</dl>

NumOutEx: Example of computed numerical outputs

Description

Usage

Arguments

Format