Spanned_Factors

Computes the country-specific spanned factors

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

Spanned_Factors function

<dl><dt>Yields</dt>
<dd>A matrix (J x T), where J is the number of maturities and T is the length of the time series.</dd>
<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>
<dt>N</dt>
<dd>Scalar representing the desired number of country-specific spanned factors (maximum allowed is N = J).</dd></dl>

Arguments

Computes the country-specific spanned factors — Spanned_Factors

<dl>

<dt>Yields</dt>
<dd>A matrix (J x T), where J is the number of maturities and T is the length of the time series.</dd>


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


<dt>N</dt>
<dd>Scalar representing the desired number of country-specific spanned factors (maximum allowed is N = J).</dd>

</dl>

Spanned_Factors: Computes the country-specific spanned factors

Description

Usage

Value

Arguments

Examples