GVAR_PrepFactors

Prepare risk factors for the estimation of the GVAR model

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

GVAR_PrepFactors function

<dl><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>StarLabels</dt>
<dd>string-based vector containing label of the star 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

Prepare risk factors for the estimation of the GVAR model — GVAR_PrepFactors

<dl>

<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>StarLabels</dt>
<dd>string-based vector containing label of the star 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>

GVAR_PrepFactors: Prepare risk factors for the estimation of the GVAR model

Description

Usage

Arguments