IDXZeroRestrictionsJLLVarCovOrtho

Find the indexes of zero-restrictions from the orthogonalized variance-covariance matrix from the JLL-based models

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

IDXZeroRestrictionsJLLVarCovOrtho function

<dl><dt>M</dt>
<dd>number of country-specific unspanned factors (scalar)</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd>
<dt>G</dt>
<dd>number of global unspanned factors (scalar)</dd>
<dt>Economies</dt>
<dd>Set of economies that are part of the economic system (string-vector)</dd>
<dt>DomUnit</dt>
<dd>Name of the economy which is assigned as the dominant unit. 
If no dominant unit is assigned, then this variable is defined as "None"</dd></dl>

Arguments

Find the indexes of zero-restrictions from the orthogonalized variance-covariance matrix from the JLL-based models — IDXZeroRestrictionsJLLVarCovOrtho

<dl>

<dt>M</dt>
<dd>number of country-specific unspanned factors (scalar)</dd>


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


<dt>G</dt>
<dd>number of global unspanned factors (scalar)</dd>


<dt>Economies</dt>
<dd>Set of economies that are part of the economic system (string-vector)</dd>


<dt>DomUnit</dt>
<dd>Name of the economy which is assigned as the dominant unit. 
If no dominant unit is assigned, then this variable is defined as "None"</dd>

</dl>

IDXZeroRestrictionsJLLVarCovOrtho: Find the indexes of zero-restrictions from the orthogonalized variance-covariance matrix from the JLL-based models

Description

Usage

Value

Arguments