richardson_diff

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

richardson_diff function

<dl><dt>f</dt>
<dd>function to differentiate</dd>
<dt>x</dt>
<dd>evaluation point</dd>
<dt>i</dt>
<dd>coordinate index</dd>
<dt>h</dt>
<dd>base step size</dd>
<dt>fx0</dt>
<dd>f(x), precomputed</dd>
<dt>nlevels</dt>
<dd>depth of extrapolation. Default is 5</dd></dl>

Arguments

Richardson extrapolation — richardson_diff

<dl>

<dt>f</dt>
<dd>function to differentiate</dd>


<dt>x</dt>
<dd>evaluation point</dd>


<dt>i</dt>
<dd>coordinate index</dd>


<dt>h</dt>
<dd>base step size</dd>


<dt>fx0</dt>
<dd>f(x), precomputed</dd>


<dt>nlevels</dt>
<dd>depth of extrapolation. Default is 5</dd>

</dl>

richardson_diff: Richardson extrapolation

Description

Usage

Arguments