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.