ParaSetEx

JPS-based model for Brazilian data

data

model

Brazilian

Illustrative

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

ParaSetEx function

list of inputs and outputs<dl>
 <dt>Inupts</dt>
<dd>general model inputs</dd> <dt>ModEst</dt>
<dd>model parameters estimates (JPS form)</dd> 
</dl>

Format

Example of parameter set after optimization — ParaSetEx

list of inputs and outputs<dl>
 <dt>Inupts</dt>
<dd>general model inputs</dd>

 <dt>ModEst</dt>
<dd>model parameters estimates (JPS form)</dd>

 
</dl>

ParaSetEx: Example of parameter set after optimization

Description

Usage

Arguments

Format