Get_SigmaYields

Compute the variance-covariance matrix of the bond yields

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_SigmaYields function

<dl><dt>YieldsTS</dt>
<dd>matrix of yields used in estimation (J x T or CJ x T)</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors</dd>
<dt>mat</dt>
<dd>vector of maturities (in years) of yields used in estimation (J x 1)</dd>
<dt>WpcaFull</dt>
<dd>composite matrix of weights the portfolios observed with and without errors</dd>
<dt>se</dt>
<dd>Variance of the portfolio of yields observed with error (scalar). Default is set to NULL</dd>
<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd></dl>

Arguments

Compute the variance-covariance matrix of the bond yields — Get_SigmaYields

<dl>

<dt>YieldsTS</dt>
<dd>matrix of yields used in estimation (J x T or CJ x T)</dd>


<dt>N</dt>
<dd>number of country-specific spanned factors</dd>


<dt>mat</dt>
<dd>vector of maturities (in years) of yields used in estimation (J x 1)</dd>


<dt>WpcaFull</dt>
<dd>composite matrix of weights the portfolios observed with and without errors</dd>


<dt>se</dt>
<dd>Variance of the portfolio of yields observed with error (scalar). Default is set to NULL</dd>


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

</dl>

Get_SigmaYields: Compute the variance-covariance matrix of the bond yields

Description

Usage

Arguments