RiskFactorsPrep

Builds the complete set of time series of the risk factors (spanned and unspanned)

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

RiskFactorsPrep function

<dl><dt>FactorSet</dt>
<dd>Factor set list (see e.g. "CM_Factors_GVAR" data file)</dd>
<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>
<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd>
<dt>Initial_Date</dt>
<dd>Start date of the sample period in the format yyyy-mm-dd</dd>
<dt>Final_Date</dt>
<dd>End date of the sample period in the format yyyy-mm-dd</dd>
<dt>DataFrequency</dt>
<dd>A character vector specifying the data frequency. Available options: "Daily All Days", "Daily Business Days",
"Weekly", "Monthly", "Quarterly", "Annually".</dd></dl>

Arguments

Builds the complete set of time series of the risk factors (spanned and unspanned) — RiskFactorsPrep

<dl>

<dt>FactorSet</dt>
<dd>Factor set list (see e.g. "CM_Factors_GVAR" data file)</dd>


<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>


<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd>


<dt>Initial_Date</dt>
<dd>Start date of the sample period in the format yyyy-mm-dd</dd>


<dt>Final_Date</dt>
<dd>End date of the sample period in the format yyyy-mm-dd</dd>


<dt>DataFrequency</dt>
<dd>A character vector specifying the data frequency. Available options: "Daily All Days", "Daily Business Days",
"Weekly", "Monthly", "Quarterly", "Annually".</dd>

</dl>

RiskFactorsPrep: Builds the complete set of time series of the risk factors (spanned and unspanned)

Description

Usage

Value

Arguments