MergeFEVD_graphs

Limit the number of categories in FEVDs and GFEVDs graphs by merging small groups into other

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

MergeFEVD_graphs function

<dl><dt>FEVDlist</dt>
<dd>list of FEVD and GFEVD outputs</dd>
<dt>Threshold</dt>
<dd>Threshold for merging factors. Default is 0.05.</dd></dl>

Arguments

Limit the number of categories in FEVDs and GFEVDs graphs by merging small groups into other — MergeFEVD_graphs

<dl>

<dt>FEVDlist</dt>
<dd>list of FEVD and GFEVD outputs</dd>


<dt>Threshold</dt>
<dd>Threshold for merging factors. Default is 0.05.</dd>

</dl>

MergeFEVD_graphs: Limit the number of categories in FEVDs and GFEVDs graphs by merging small groups into other

Description

Usage

Arguments