RiskFactors

<p>Risk factors data used in Candelon and Moura (forthcoming, JFEC)</p>

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) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

RiskFactors function

<p>matrix containing the  risk factors of the models</p>

Data engineering and BI courses are free!

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

Description

Usage

Arguments

Format

References