MultiATSM (version 1.3.0)

LoadData: Loads data sets from several papers

Description

Loads data sets from several papers

Usage

LoadData(DataPaper)

Value

Complete set of data from several papers.

Arguments

DataPaper

Available options are BR_2017 (Bauer and Rudebusch, 2017) , CM_2023 (Candelon and Moura, 2023), CM_2024 (Candelon and Moura, 2024)

References

1. Bauer and Rudebusch (2017). "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models" (Review of Finance)

2. Candelon and Moura (2023). "Sovereign yield curves and the COVID-19 in emerging markets" (Economic Modelling)

3. Candelon and Moura (2024). "A Multicountry Model of the Term Structures of Interest Rates with a GVAR" (Journal of Financial Econometrics)

Examples

#Example 1:
LoadData("BR_2017")

#Example 2:
LoadData("CM_2023")

#Example 3:
LoadData("CM_2024")