Idx_UnspanFact

Obtain the indexes of both the domestic and global unspanned factors

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

Idx_UnspanFact function

<dl><dt>RiskFactors_TS</dt>
<dd>time series of risk factors for the jointly estimated models (CJ x T)</dd>
<dt>FactorLabels</dt>
<dd>a string-list based which contains all the labels of all the variables present in the model</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd></dl>

Arguments

Obtain the indexes of both the domestic and global unspanned factors — Idx_UnspanFact

<dl>

<dt>RiskFactors_TS</dt>
<dd>time series of risk factors for the jointly estimated models (CJ x T)</dd>


<dt>FactorLabels</dt>
<dd>a string-list based which contains all the labels of all the variables present in the model</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>

</dl>

Idx_UnspanFact: Obtain the indexes of both the domestic and global unspanned factors

Description

Usage

Arguments