BuildGVAR

Build the GVAR(1) from the country-specific VARX(1,1,1)

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

BuildGVAR function

<dl><dt>ParaVARX</dt>
<dd>Set of VARX model parameters</dd>
<dt>GlobalPara</dt>
<dd>Set of marginal model parameters</dd>
<dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd>
<dt>DomLabels</dt>
<dd>string-based vector containing label of the domestic risk factors</dd>
<dt>GlobalLabels</dt>
<dd>string-based vector containing label of the global risk factors</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd></dl>

Arguments

Build the GVAR(1) from the country-specific VARX(1,1,1) — BuildGVAR

<dl>

<dt>ParaVARX</dt>
<dd>Set of VARX model parameters</dd>


<dt>GlobalPara</dt>
<dd>Set of marginal model parameters</dd>


<dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd>


<dt>DomLabels</dt>
<dd>string-based vector containing label of the domestic risk factors</dd>


<dt>GlobalLabels</dt>
<dd>string-based vector containing label of the global risk factors</dd>


<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd>

</dl>

BuildGVAR: Build the GVAR(1) from the country-specific VARX(1,1,1)

Description

Usage

Arguments