Get_G0G1Sigma

Get the intercept, feedback matrix and the variance-covariance matrix from GVAR without global factors

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

Get_G0G1Sigma function

<dl><dt>ParaVARX</dt>
<dd>Set of VARX model parameters</dd>
<dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd>
<dt>Ai0</dt>
<dd>list containing the country-specific intercepts</dd>
<dt>Ai1</dt>
<dd>list containing the country-specific feedback matrices</dd>
<dt>Wi</dt>
<dd>list containing the country-specific link matrices</dd></dl>

Arguments

Get the intercept, feedback matrix and the variance-covariance matrix from GVAR without global factors — Get_G0G1Sigma

<dl>

<dt>ParaVARX</dt>
<dd>Set of VARX model parameters</dd>


<dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd>


<dt>Ai0</dt>
<dd>list containing the country-specific intercepts</dd>


<dt>Ai1</dt>
<dd>list containing the country-specific feedback matrices</dd>


<dt>Wi</dt>
<dd>list containing the country-specific link matrices</dd>

</dl>

Get_G0G1Sigma: Get the intercept, feedback matrix and the variance-covariance matrix from GVAR without global factors

Description

Usage

Arguments