Boot_Fac_Graphs

Build P-dynamic graphs after the bootstrap implementation

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 (2024, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

Boot_Fac_Graphs function

<dl><dt>NumOutBounds</dt>
<dd>numerical output set from the bootstrap analysis</dd>
<dt>NumOutPE</dt>
<dd>numerical output set from the point estimate analysis</dd>
<dt>ModelType</dt>
<dd>desired model type</dd>
<dt>FacDim</dt>
<dd>dimension of the risk factor set</dd>
<dt>Horiz</dt>
<dd>horizon of numerical outputs</dd>
<dt>Economies</dt>
<dd>Economies that are part of the economic system</dd>
<dt>PathsGraphs</dt>
<dd>Path to save the desired graphs</dd>
<dt>OutInt</dt>
<dd>available options are "IRF" and "FEVD"</dd>
<dt>WishFacGraphs</dt>
<dd>Binary variable reflecting the graphs of interest</dd>
<dt>WishFacGraphsOrtho</dt>
<dd>Binary variable reflecting the graphs of interest (orthogonalized version). Default is NULL</dd></dl>

Arguments

Build P-dynamic graphs after the bootstrap implementation — Boot_Fac_Graphs

<dl>

<dt>NumOutBounds</dt>
<dd>numerical output set from the bootstrap analysis</dd>


<dt>NumOutPE</dt>
<dd>numerical output set from the point estimate analysis</dd>


<dt>ModelType</dt>
<dd>desired model type</dd>


<dt>FacDim</dt>
<dd>dimension of the risk factor set</dd>


<dt>Horiz</dt>
<dd>horizon of numerical outputs</dd>


<dt>Economies</dt>
<dd>Economies that are part of the economic system</dd>


<dt>PathsGraphs</dt>
<dd>Path to save the desired graphs</dd>


<dt>OutInt</dt>
<dd>available options are "IRF" and "FEVD"</dd>


<dt>WishFacGraphs</dt>
<dd>Binary variable reflecting the graphs of interest</dd>


<dt>WishFacGraphsOrtho</dt>
<dd>Binary variable reflecting the graphs of interest (orthogonalized version). Default is NULL</dd>

</dl>

Boot_Fac_Graphs: Build P-dynamic graphs after the bootstrap implementation

Description

Usage

Arguments