Est_K1h

internal

Package for estimating, analyzing, and forecasting multi-country macro-finance affine term structure models (ATSMs). All setups build on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions by 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. The package also provides tools for bias correction as in Bauer Rudebusch and Wu (2012, JBES) <doi:10.1080/07350015.2012.693855>, bootstrap analysis, and several graphical/numerical outputs.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

Est_K1h function

<dl><dt>horiz</dt>
<dd>Minimum horizon observed</dd>
<dt>min_mat</dt>
<dd>shortest maturity observed</dd>
<dt>max_mat</dt>
<dd>longest maturity observed</dd>
<dt>time_step</dt>
<dd>time unit of the model (scalar)</dd>
<dt>B_coef</dt>
<dd>matrix of beta coefficients</dd></dl>

Arguments

Estimate K1h — Est_K1h

<dl>

<dt>horiz</dt>
<dd>Minimum horizon observed</dd>


<dt>min_mat</dt>
<dd>shortest maturity observed</dd>


<dt>max_mat</dt>
<dd>longest maturity observed</dd>


<dt>time_step</dt>
<dd>time unit of the model (scalar)</dd>


<dt>B_coef</dt>
<dd>matrix of beta coefficients</dd>

</dl>

Est_K1h: Estimate K1h

Description

Usage

Arguments