MultiATSM (version 0.3.6)

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

Description

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

Usage

RiskFactorsPrep(
  FactorSet,
  Economies,
  FactorLabels,
  Initial_Date,
  Final_Date,
  DataFrequency
)

Value

Risk factors used in the estimation of the desired ATSM

Arguments

FactorSet

Factor set list (see e.g. "CM_Factors_GVAR" data file)

Economies

string-vector containing the names of the economies which are part of the economic system

FactorLabels

string-list based which contains the labels of all the variables present in the model

Initial_Date

Sample starting date (yyyy-mm-dd)

Final_Date

Sample last date (yyyy-mm-dd)

DataFrequency

character-based vector: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually"