GetLabels_JLL

Generate the variable labels of the JLL 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

GetLabels_JLL function

<dl><dt>NonOrthoFactors</dt>
<dd>Risk factors before the orthogonalization (FxT)</dd>
<dt>JLLinputs</dt>
<dd>List of necessary inputs to estimate JLL-based setups</dd>
<dt>G</dt>
<dd>number of global unspanned factors (scalar)</dd></dl>

Arguments

Generate the variable labels of the JLL models — GetLabels_JLL

<dl>

<dt>NonOrthoFactors</dt>
<dd>Risk factors before the orthogonalization (FxT)</dd>


<dt>JLLinputs</dt>
<dd>List of necessary inputs to estimate JLL-based setups</dd>


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

</dl>

GetLabels_JLL: Generate the variable labels of the JLL models

Description

Usage

Arguments