OptimizationSetup_ATSM

Optimization routine for the entire selected ATSM

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

OptimizationSetup_ATSM function

<dl><dt>x0</dt>
<dd>List containing features for estimation of the risk-neutral parameters.</dd>
<dt>MLvec</dt>
<dd>Log-likelihood function</dd>
<dt>EstType</dt>
<dd>Estimation type. Available options: "BFGS" and "Nelder-Mead".</dd>
<dt>tol</dt>
<dd>convergence tolerance (scalar). Default value is set as 1e-4.</dd>
<dt>verbose</dt>
<dd>Logical flag controlling function messaging.</dd></dl>

Arguments

Optimization routine for the entire selected ATSM — OptimizationSetup_ATSM

<dl>

<dt>x0</dt>
<dd>List containing features for estimation of the risk-neutral parameters.</dd>


<dt>MLvec</dt>
<dd>Log-likelihood function</dd>


<dt>EstType</dt>
<dd>Estimation type. Available options: "BFGS" and "Nelder-Mead".</dd>


<dt>tol</dt>
<dd>convergence tolerance (scalar). Default value is set as 1e-4.</dd>


<dt>verbose</dt>
<dd>Logical flag controlling function messaging.</dd>

</dl>

OptimizationSetup_ATSM: Optimization routine for the entire selected ATSM

Description

Usage

Arguments