RiskFactors

Risk factors data used in Candelon and Moura (forthcoming, JFEC)
Risk factors data used in Candelon and Moura (2023)

risk

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

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

RiskFactors function

matrix containing the risk factors of the models
matrix containing the risk factors of the models

RiskFactors: Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)

Description

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References