pca_weights_one_country

Weight matrix from principal components

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

pca_weights_one_country function

<dl><dt>Y</dt>
<dd>A numeric matrix (T x J) representing the time series of bond yields of a specific country</dd>
<dt>Economy</dt>
<dd>String-vector containing the name of a single economy.</dd></dl>

Arguments

Weight matrix from principal components — pca_weights_one_country

<dl>

<dt>Y</dt>
<dd>A numeric matrix (T x J) representing the time series of bond yields of a specific country</dd>


<dt>Economy</dt>
<dd>String-vector containing the name of a single economy.</dd>

</dl>

pca_weights_one_country: Weight matrix from principal components

Description

Usage

Value

Arguments

Examples