ImposeStat_Aux

Impose stationary constraint under the risk-neutral measure

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

ImposeStat_Aux function

<dl><dt>yy</dt>
<dd>numerical vector before imposing stationary constraint</dd>
<dt>ub</dt>
<dd>upper bound</dd>
<dt>lb</dt>
<dd>lower bound</dd></dl>

Arguments

Impose stationary constraint under the risk-neutral measure — ImposeStat_Aux

<dl>

<dt>yy</dt>
<dd>numerical vector before imposing stationary constraint</dd>


<dt>ub</dt>
<dd>upper bound</dd>


<dt>lb</dt>
<dd>lower bound</dd>

</dl>

ImposeStat_Aux: Impose stationary constraint under the risk-neutral measure

Description

Usage

Arguments