TimeVarWeights_GVAR

Compute the star variables with time-varying weights

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

TimeVarWeights_GVAR function

<dl><dt>RiskFactors</dt>
<dd>A matrix of the complete set of risk factors (F x T).</dd>
<dt>Economies</dt>
<dd>A character vector containing the names of the economies included in the system.</dd>
<dt>RiskFactors_List</dt>
<dd>List of domestic risk factors (both spanned and unspanned)</dd>
<dt>ListFactors</dt>
<dd>List of risk factors</dd>
<dt>Wgvar</dt>
<dd>List of transition matrices</dd>
<dt>FactorLabels</dt>
<dd>A list of character vectors with labels for all variables in the model.</dd></dl>

Arguments

Compute the star variables with time-varying weights — TimeVarWeights_GVAR

<dl>

<dt>RiskFactors</dt>
<dd>A matrix of the complete set of risk factors (F x T).</dd>


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


<dt>RiskFactors_List</dt>
<dd>List of domestic risk factors (both spanned and unspanned)</dd>


<dt>ListFactors</dt>
<dd>List of risk factors</dd>


<dt>Wgvar</dt>
<dd>List of transition matrices</dd>


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

</dl>

TimeVarWeights_GVAR: Compute the star variables with time-varying weights

Description

Usage

Arguments