GVARFactors

<p>Risk factors data used in the GVAR models - Candelon and Moura (2023)</p>

risk

factors

GVAR

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) <http://hdl.handle.net/2078.1/249985> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

GVARFactors function

<p>list containing the variables used in the GVAR models</p>

GVARFactors: Data: Risk Factors for the GVAR - Candelon and Moura (2023)

Description

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References