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See also: Time series in ModelRisk
VoseTimeShortTermInterestRate(QMU,QSD,QA,YSD,CMU,CSD,CA,CW,CD,CY,CAA,CAAA,BMU,BSD,BA)
Array function that models Wilkie's Short Term Interest Rate time series model.
{Price inflation} - array with price inflation data.
QMU - Mean force of inflation.
QSD - standard deviation of force inflation.
QA - autoregression coefficient.
YSD - Standard deviation of residual.
CMU - Mean yield in excess of inflation.
CSD - Standard deviation of residual.
CA - autoregression coefficient.
CW - inflation factor.
CD - Inflation autoregression coefficient.
CY - Share links yield factor.
CAA - second order correlation coefficient.
CAAA - third order correlation coefficient.
BMU - log of interest rate ratio.
BSD - standard deviation of residual.
BA - autoregression coefficient.
As the ModelRisk Time Series functions typically take a lot of parameters, we recommend for these in particular to use the Wilkie Models window.
