R code for Arbitrage-Free Nelson-Siegel-Svensson (AFNSS) model

This post provides an R code for the 4-factor Arbitrage-Free Nelson-Siegel-Svensson (AFNSS) model developed by Lee (2024).

R: collect the i-th or last rows of each data frame in a list of data frames

This post demonstrates selecting either the last row or the i-th row from each data frame in a list of data frames in R.

R: parallel execution using foreach and %dopar%

This post provides a quick introduction to parallel execution in R using foreach and %dopar%.

R: Creating Sequential Filenames or Folders: AA, AA_01, AA_02, ...

This post demonstrates how to generate sequential filenames or folders, like 'AA', 'AA_01', 'AA_02', and beyond.

R: Refining R Graphs

This post demonstrates a step-by-step refinement of an R graph.

R: Saving Lists with Renaming and Loading into a List

This post shows a streamlined list handling by saving lists with renaming and then loading them into a list for ongoing analysis.

R: Speed Up R Code using Rcpp and RcppArmadillo

This post demonstrates how to incorporate C++ code to enhance the running speed of R code, through the integration of Rcpp and RcppArmadillo. The Nelson-Siegel yield curve model serves as an illustrative example.

R: Outlier Detection with Mahalanobis Distance in R

This post demonstrates outlier detection using Mahalanobis distance with R.

R: Error in Integration with Vector Function and Its Remedy

This post illustrates how to address an error arising from the integration of one of the results of a vector function in R. A straightforward remedy is to use Vectorize().

R: Symbolic Matrix Multiplications

This post shows how to perform symbolic matrix multiplications using two R libraries.

R: Integration using R integrate() function

This post demonstrates the usage of a numerical integration function in R, integrate(), accompanied by an example featuring a slope factor-related term.

R: Shape-based decomposition of the yield-adjustment term in the AFNS model

This post covers Steeley (2014) shape-based decomposition of the yield-adjustment term in the AFNS model using R.

R: Conversion between Lower Triangular Matrix and Vector

This post shows how to convert a lower triangular matrix into a vector or vice versa using R code.

R: The Hodrick-Prescott filter or HP filter

This post demonstrates how to apply the Hodrick-Prescott (HP) filter in R by using the hpfilter R library.

R: Beveridge–Nelson Trend and Cycle Decomposition

This post shows how to extract trend and cyclical components from a univariate time series based on the Beveridge–Nelson (BN) decomposition using tsm R package.

R : Diebold-Mariano Test

This post shows how to use Diebold-Mariano test by using multDM R package.

R: Using Differential Evolution to the Nelson-Siegel model

This post demonstrates the application of Differential Evolution (DE) to estimate Nelson-Siegel parameters using the NMOF R package.

R: Apply Particle Swarm Optimization to the Nelson-Siegel model

This post shows how to apply the Particle Swarm Optimization (PSO) to estimate the Nelson-Siegel parameters using pso R package.

R : Nyholm (2018) Rotated Nelson-Siegel Model

This post implements R code to estimate the Rotated Nelson-Siegel yield curve model of Nyholm (2018)

R : Nelson-Siegel-Svensson (NSS) model with fixed or estimated constant decay parameters

This post implements the period-by-period estimation of the Nelson-Siegel-Svensson yield curve model with fixed or estimated constant decay parameters using R code.