FEVDandGFEVDs_Graphs

Generates graphs for FEVDs and GFEVDs

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

FEVDandGFEVDs_Graphs function

<dl><dt>OutputType</dt>
<dd>available options are "FEVD", "GFEVD", "FEVD Ortho" and "GFEVD Ortho"</dd>
<dt>FEVDlist</dt>
<dd>list of FEVD and GFEVD outputs</dd>
<dt>nmVarInt</dt>
<dd>name of variable of interest. Options: "Factors" and "Yields"</dd>
<dt>Lab_Fac</dt>
<dd>label of the model factors</dd>
<dt>PathsGraphs</dt>
<dd>Path to save graphs</dd></dl>

Arguments

Generates graphs for FEVDs and GFEVDs — FEVDandGFEVDs_Graphs

<dl>

<dt>OutputType</dt>
<dd>available options are "FEVD", "GFEVD", "FEVD Ortho" and "GFEVD Ortho"</dd>


<dt>FEVDlist</dt>
<dd>list of FEVD and GFEVD outputs</dd>


<dt>nmVarInt</dt>
<dd>name of variable of interest. Options: "Factors" and "Yields"</dd>


<dt>Lab_Fac</dt>
<dd>label of the model factors</dd>


<dt>PathsGraphs</dt>
<dd>Path to save graphs</dd>

</dl>

FEVDandGFEVDs_Graphs: Generates graphs for FEVDs and GFEVDs

Description

Usage

Arguments