ComputeGFEVDs

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

ComputeGFEVDs function

<dl><dt>SIGMA</dt>
<dd>Variance-covariance matrix</dd>
<dt>K1Z</dt>
<dd>Loading As</dd>
<dt>G0</dt>
<dd>contemporaneous terms</dd>
<dt>BLoad</dt>
<dd>Loading Bs</dd>
<dt>FactorLabels</dt>
<dd>List containing the label of factors</dd>
<dt>FacDim</dt>
<dd>Dimension of the P-dynamics</dd>
<dt>MatLength</dt>
<dd>Length of the maturity vector</dd>
<dt>GFEVDhoriz</dt>
<dd>Horizon of the analysis</dd>
<dt>YieldsLabel</dt>
<dd>Label of bond yields</dd>
<dt>ModelType</dt>
<dd>Desired model type</dd>
<dt>Economy</dt>
<dd>specific economy under study</dd>
<dt>PI</dt>
<dd>matrix PI for JLL-based models</dd>
<dt>Mode</dt>
<dd>allows for the orthogonalized version in the case of JLL-based models</dd></dl>

Arguments

Compute GFEVDs for all models — ComputeGFEVDs

<dl>

<dt>SIGMA</dt>
<dd>Variance-covariance matrix</dd>


<dt>K1Z</dt>
<dd>Loading As</dd>


<dt>G0</dt>
<dd>contemporaneous terms</dd>


<dt>BLoad</dt>
<dd>Loading Bs</dd>


<dt>FactorLabels</dt>
<dd>List containing the label of factors</dd>


<dt>FacDim</dt>
<dd>Dimension of the P-dynamics</dd>


<dt>MatLength</dt>
<dd>Length of the maturity vector</dd>


<dt>GFEVDhoriz</dt>
<dd>Horizon of the analysis</dd>


<dt>YieldsLabel</dt>
<dd>Label of bond yields</dd>


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


<dt>Economy</dt>
<dd>specific economy under study</dd>


<dt>PI</dt>
<dd>matrix PI for JLL-based models</dd>


<dt>Mode</dt>
<dd>allows for the orthogonalized version in the case of JLL-based models</dd>

</dl>

ComputeGFEVDs: Compute GFEVDs for all models

Description

Usage

Arguments

References