autoplot.ATSMModelBoot

Autoplot method for ATSMModelBoot objects

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

autoplot.ATSMModelBoot function

<dl><dt>x</dt>
<dd>An object of class 'ATSMModelBoot'</dd>
<dt>NumOutPE</dt>
<dd>An object of class 'ATSMNumOutputs': point estimates of the numerical outputs</dd>
<dt>type</dt>
<dd>Plot type: one of "IRF", "FEVD", "GIRF", "GFEVD" (each must be suffixed with "_Factors" or
"_Yields"). For JLL-based models, an additional "_Ortho" suffix produces
orthogonalized outputs. All inputs must end by "_Boot" as a reference to the bootstrap procedure.</dd>
<dt>...</dt>
<dd>Additional arguments (not used)</dd></dl>

Arguments

Autoplot method for ATSMModelBoot objects — autoplot.ATSMModelBoot

<dl>

<dt>x</dt>
<dd>An object of class 'ATSMModelBoot'</dd>


<dt>NumOutPE</dt>
<dd>An object of class 'ATSMNumOutputs': point estimates of the numerical outputs</dd>


<dt>type</dt>
<dd>Plot type: one of "IRF", "FEVD", "GIRF", "GFEVD" (each must be suffixed with "_Factors" or
"_Yields"). For JLL-based models, an additional "_Ortho" suffix produces
orthogonalized outputs. All inputs must end by "_Boot" as a reference to the bootstrap procedure.</dd>


<dt>...</dt>
<dd>Additional arguments (not used)</dd>

</dl>

autoplot.ATSMModelBoot: Autoplot method for ATSMModelBoot objects

Description

Usage

Arguments