Get_V_tilde_BC

Compute the variance-covariance matrix after the bias correction procedure

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_V_tilde_BC function

<dl><dt>Phi_tilde</dt>
<dd>Feedback matrix resulting from the bias-correction procedure</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd>
<dt>RiskFactors</dt>
<dd>time series of the risk factors (T x F)</dd>
<dt>GVARinputs</dt>
<dd>inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL</dd>
<dt>JLLinputs</dt>
<dd>inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL</dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all variables present in the model</dd>
<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd></dl>

Arguments

Compute the variance-covariance matrix after the bias correction procedure — Get_V_tilde_BC

<dl>

<dt>Phi_tilde</dt>
<dd>Feedback matrix resulting from the bias-correction procedure</dd>


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


<dt>RiskFactors</dt>
<dd>time series of the risk factors (T x F)</dd>


<dt>GVARinputs</dt>
<dd>inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL</dd>


<dt>JLLinputs</dt>
<dd>inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL</dd>


<dt>FactorLabels</dt>
<dd>string-list based which contains the labels of all variables present in the model</dd>


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

</dl>

Get_V_tilde_BC: Compute the variance-covariance matrix after the bias correction procedure

Description

Usage

Arguments