FEVDjointOrthogoJLL

Orthogonalized FEVDs for JLL models

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

FEVDjointOrthogoJLL function

<dl><dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>ModelPara</dt>
<dd>list of model parameter estimates (see the "Optimization" function)</dd>
<dt>FEVDhoriz</dt>
<dd>single numerical vector conataining the desired horizon of analysis for the FEVDs</dd>
<dt>FactorLabels</dt>
<dd>string-list based which contains all the labels of all the variables present in the model</dd>
<dt>Economies</dt>
<dd>a string-vector containing the names of the economies which are part of the economic system</dd></dl>

Arguments

Orthogonalized FEVDs for JLL models — FEVDjointOrthogoJLL

<dl>

<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>


<dt>ModelPara</dt>
<dd>list of model parameter estimates (see the "Optimization" function)</dd>


<dt>FEVDhoriz</dt>
<dd>single numerical vector conataining the desired horizon of analysis for the FEVDs</dd>


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


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

</dl>

FEVDjointOrthogoJLL: Orthogonalized FEVDs for JLL models

Description

Usage

Arguments

Details