MultiATSM (version 1.3.0)

BuildATSM_RiskFactors: Builds the time series of the risk factors that are used in the estimation of the ATSM

Description

Builds the time series of the risk factors that are used in the estimation of the ATSM

Usage

BuildATSM_RiskFactors(
  InitialSampleDate,
  FinalSampleDate,
  Yields,
  GlobalMacroFactors,
  DomMacroFactors,
  Economies,
  FactorLabels,
  ModelType,
  BS_Adj = FALSE
)

Value

Generates the complete set of risk factors that are used in the estimation of the ATSM

Arguments

InitialSampleDate

Sample starting date

FinalSampleDate

Sample last date

Yields

matrix (J x T), where J - the number of maturities and T - time series length

GlobalMacroFactors

time series of the global macroeconomic risk factors (G x T)

DomMacroFactors

time series of the country-specific macroeconomic risk factors for all C countries (CM x T)

Economies

string-vector containing the names of the economies which are part of the economic system

FactorLabels

string-list based which contains the labels of all variables present in the model

ModelType

string-vector containing the label of the model to be estimated

BS_Adj

adjustment of global series for sepQ model in the Bootstrap setting. Default is set to FALSE.