YieldsFit {MultiATSM} | R Documentation |
Computes two measures of model fit for bond yields (all models)
Description
Computes two measures of model fit for bond yields (all models)
Usage
YieldsFit(ModelType, ModelPara, FactorLabels, Economies)
Arguments
ModelType |
a string-vector containing the label of the model to be estimated |
ModelPara |
List of model parameter estimates (See the "Optimization" function) |
FactorLabels |
a string-list based which contains the labels of all the variables present in the model |
Economies |
a string-vector containing the names of the economies which are part of the economic system |
Details
"Model-implied yields" is the measure of fit based exclusively on the risk-neutral parameters, whereas the "Model-Fit" takes into account both the risk-neutral and the physical paameters.
References
See, for instance, Jotiskhatira, Le and Lundblad (2015). "Why do interest rates in different currencies co-move?" (Journal of Financial Economics)
[Package MultiATSM version 1.1.0 Index]