OrthoVAR_JLL

VAR(1) with orthogonalized factors (JLL 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

OrthoVAR_JLL function

<dl><dt>NonOrthoFactors</dt>
<dd>Risk factors before the orthogonalization (FxT)</dd>
<dt>JLLinputs</dt>
<dd>List of necessary inputs to estimate JLL-based setups</dd>
<dt>Ortho_Set</dt>
<dd>Set of orthogonalized risk factors</dd>
<dt>FactLabels</dt>
<dd>Variable labels of the orthogonalized risk factors</dd>
<dt>N</dt>
<dd>number of country-specific spanned factors (scalar)</dd></dl>

Arguments

VAR(1) with orthogonalized factors (JLL models) — OrthoVAR_JLL

<dl>

<dt>NonOrthoFactors</dt>
<dd>Risk factors before the orthogonalization (FxT)</dd>


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


<dt>Ortho_Set</dt>
<dd>Set of orthogonalized risk factors</dd>


<dt>FactLabels</dt>
<dd>Variable labels of the orthogonalized risk factors</dd>


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

</dl>

OrthoVAR_JLL: VAR(1) with orthogonalized factors (JLL models)

Description

Usage

Arguments