BuildFEVDlist

Build the list of IRF and GIRF for both factors and bond yields

internal

Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (Forthcoming, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

BuildFEVDlist function

<dl><dt>NumOut</dt>
<dd>list of computed outputs containing the model fit, IRFs, FEVDs, GIRFs, GFEVDs and Term Premia</dd>
<dt>Economies</dt>
<dd>Economies of the economic system</dd>
<dt>ModelType</dt>
<dd>Desired model type</dd>
<dt>FEVDhoriz</dt>
<dd>time-horizon of the FEVD and GFEVD</dd>
<dt>FacDim</dt>
<dd>dimension of the risk factor vector</dd>
<dt>YieldsDim</dt>
<dd>dimension of the model set of yields</dd>
<dt>OutputType</dt>
<dd>available option are 'FEVD' and 'GFEVD'</dd></dl>

Arguments

Build the list of IRF and GIRF for both factors and bond yields — BuildFEVDlist

<dl>

<dt>NumOut</dt>
<dd>list of computed outputs containing the model fit, IRFs, FEVDs, GIRFs, GFEVDs and Term Premia</dd>


<dt>Economies</dt>
<dd>Economies of the economic system</dd>


<dt>ModelType</dt>
<dd>Desired model type</dd>


<dt>FEVDhoriz</dt>
<dd>time-horizon of the FEVD and GFEVD</dd>


<dt>FacDim</dt>
<dd>dimension of the risk factor vector</dd>


<dt>YieldsDim</dt>
<dd>dimension of the model set of yields</dd>


<dt>OutputType</dt>
<dd>available option are 'FEVD' and 'GFEVD'</dd>

</dl>

BuildFEVDlist: Build the list of IRF and GIRF for both factors and bond yields

Description

Usage

Arguments