Intra_Yields

Fit the cross-section of yields using spline

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

Intra_Yields function

<dl><dt>Yields</dt>
<dd>matrix containing country-specific yields (J x T)</dd>
<dt>mat_vec</dt>
<dd>vector of maturities expressed in years (J x 1)</dd>
<dt>time_step</dt>
<dd>time unit of the model (scalar)</dd></dl>

Arguments

Fit the cross-section of yields using spline — Intra_Yields

<dl>

<dt>Yields</dt>
<dd>matrix containing country-specific yields (J x T)</dd>


<dt>mat_vec</dt>
<dd>vector of maturities expressed in years (J x 1)</dd>


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

</dl>

Intra_Yields: Fit the cross-section of yields using spline

Description

Usage

Arguments