YieldsFit function

Computes two measures of model fit for bond yields (all models)

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 parameters.

References

See, for instance, Jotiskhatira, Le and Lundblad (2015). "Why do interest rates in different currencies co-move?" (Journal of Financial Economics)