EstimationSigma_Ye

Estimate numerically the Cholesky-factorization from the JLL-based models

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

EstimationSigma_Ye function

<dl><dt>SigmaUnres</dt>
<dd>unrestricted variance-covariance matrix (K x K)</dd>
<dt>res</dt>
<dd>residuals from the VAR of the JLL model (K x T)</dd>
<dt>M</dt>
<dd>number of domestic unspanned factors per country (scalar)</dd>
<dt>G</dt>
<dd>number of global unspanned factors (scalar)</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>
<dt>DomUnit</dt>
<dd>Name of the economy which is assigned as the dominant unit. 
If no dominant unit is assigned, then this variable is defined as "none"</dd></dl>

Arguments

Estimate numerically the Cholesky-factorization from the JLL-based models — EstimationSigma_Ye

<dl>

<dt>SigmaUnres</dt>
<dd>unrestricted variance-covariance matrix (K x K)</dd>


<dt>res</dt>
<dd>residuals from the VAR of the JLL model (K x T)</dd>


<dt>M</dt>
<dd>number of domestic unspanned factors per country (scalar)</dd>


<dt>G</dt>
<dd>number of global unspanned factors (scalar)</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>


<dt>DomUnit</dt>
<dd>Name of the economy which is assigned as the dominant unit. 
If no dominant unit is assigned, then this variable is defined as "none"</dd>

</dl>

EstimationSigma_Ye: Estimate numerically the Cholesky-factorization from the JLL-based models

Description

Usage

Value

Arguments