Rotate_Lat_Obs

Rotate latent states to observed ones

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

Rotate_Lat_Obs function

<dl><dt>X_List</dt>
<dd>list of risk-neutral parameters: (i) intercept (A_X); slope (B_X) and volatility matrix (SS_X)</dd>
<dt>U1</dt>
<dd>rotation matrix (N x N)</dd>
<dt>U0</dt>
<dd>rotation vector (N x 1)</dd></dl>

Arguments

Rotate latent states to observed ones — Rotate_Lat_Obs

<dl>

<dt>X_List</dt>
<dd>list of risk-neutral parameters: (i) intercept (A_X); slope (B_X) and volatility matrix (SS_X)</dd>


<dt>U1</dt>
<dd>rotation matrix (N x N)</dd>


<dt>U0</dt>
<dd>rotation vector (N x 1)</dd>

</dl>

Rotate_Lat_Obs: Rotate latent states to observed ones

Description

Usage

Arguments