GetLabels_sepQ

Generate the factor labels for models estimated on a country-by-country basis

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_sepQ function

<dl><dt>Economy</dt>
<dd>string containing the names of the economy to be estimated</dd>
<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>FactorLabels</dt>
<dd>list containing the factor labels</dd></dl>

Arguments

Generate the factor labels for models estimated on a country-by-country basis — GetLabels_sepQ

<dl>

<dt>Economy</dt>
<dd>string containing the names of the economy to be estimated</dd>


<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>


<dt>FactorLabels</dt>
<dd>list containing the factor labels</dd>

</dl>

GetLabels_sepQ: Generate the factor labels for models estimated on a country-by-country basis

Description

Usage

Arguments