Get__BnXAnX: Compute the cross-section loadings of yields of a canonical...
In MultiATSM: Multicountry Term Structure of Interest Rates Models
Get__BnXAnX R Documentation
Compute the cross-section loadings of yields of a canonical A0_N model
Description
Compute the cross-section loadings of yields of a canonical A0_N model
Usage
Get__BnXAnX(mat, K1XQ, ModelType, r0 = NULL, SSX = NULL, Economies)
Arguments
mat
vector of maturities (J x 1).
K1XQ
risk-neutral feedback matrix (N x N)
ModelType
string-vector containing the label of the model to be estimated
r0
the long run risk neutral (scalar)
SSX
covariance matrix of the latent states (N x N)
Economies
string-vector containing the names of the economies which are part of the economic system
References
Dai, Q. and Singleton, K. (2000). "Specification Analysis of Affine Term Structure Models". The Journal of Finance.
Joslin, S., Singleton, K. and Zhu, H. (2011). "A new perspective on Gaussian dynamic term structure models".
The Review of Financial Studies.
MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| Get__BnXAnX | R Documentation |
Compute the cross-section loadings of yields of a canonical A0_N model
Description
Compute the cross-section loadings of yields of a canonical A0_N model
Usage
Get__BnXAnX(mat, K1XQ, ModelType, r0 = NULL, SSX = NULL, Economies)
Arguments
mat |
vector of maturities (J x 1). |
K1XQ |
risk-neutral feedback matrix (N x N) |
ModelType |
string-vector containing the label of the model to be estimated |
r0 |
the long run risk neutral (scalar) |
SSX |
covariance matrix of the latent states (N x N) |
Economies |
string-vector containing the names of the economies which are part of the economic system |
References
Dai, Q. and Singleton, K. (2000). "Specification Analysis of Affine Term Structure Models". The Journal of Finance.
Joslin, S., Singleton, K. and Zhu, H. (2011). "A new perspective on Gaussian dynamic term structure models". The Review of Financial Studies.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.