BuildATSM_RiskFactors: Builds the time series of the risk factors that are used in...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Builds the time series of the risk factors that are used in the estimation of the ATSM

Description

Builds the time series of the risk factors that are used in the estimation of the ATSM

Usage

BuildATSM_RiskFactors(
  InitialSampleDate,
  FinalSampleDate,
  Yields,
  GlobalMacroFactors,
  DomMacroFactors,
  Economies,
  FactorLabels,
  ModelType,
  BS_Adj = FALSE
)

Arguments

InitialSampleDate	Sample starting date
FinalSampleDate	Sample last date
Yields	matrix (J x T), where J - the number of maturities and T - time series length
GlobalMacroFactors	time series of the global macroeconomic risk factors (G x T)
DomMacroFactors	time series of the country-specific macroeconomic risk factors for all C countries (CM x T)
Economies	string-vector containing the names of the economies which are part of the economic system
FactorLabels	string-list based which contains the labels of all variables present in the model
ModelType	string-vector containing the label of the model to be estimated
BS_Adj	adjustment of global series for sepQ model in the Bootstrap setting. Default is set to FALSE.

Value

Generates the complete set of risk factors that are used in the estimation of the ATSM

MultiATSM documentation built on April 4, 2025, 1:40 a.m.