Get_Sigma_JLL

Compute Sigmas/Cholesky factorizations

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_Sigma_JLL function

<dl><dt>JLLinputs</dt>
<dd>List of necessary inputs to estimate JLL-based setups</dd>
<dt>FacSet</dt>
<dd>Set of factors used in the estimation of JLL-based setups</dd>
<dt>Para_Ortho_Reg</dt>
<dd>Set of parameters obtained from the JLL regressions</dd>
<dt>Para_Ortho_VAR</dt>
<dd>Set of parameters obtained from the VAR(1) of JLL-based models</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd></dl>

Arguments

Compute Sigmas/Cholesky factorizations — Get_Sigma_JLL

<dl>

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


<dt>FacSet</dt>
<dd>Set of factors used in the estimation of JLL-based setups</dd>


<dt>Para_Ortho_Reg</dt>
<dd>Set of parameters obtained from the JLL regressions</dd>


<dt>Para_Ortho_VAR</dt>
<dd>Set of parameters obtained from the VAR(1) of JLL-based models</dd>


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

</dl>

Get_Sigma_JLL: Compute Sigmas/Cholesky factorizations

Description

Usage

Arguments