CholRestrictionsJLL: Impose the zero-restrictions on the Cholesky-factorization...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Impose the zero-restrictions on the Cholesky-factorization from JLL-based models.

Description

Impose the zero-restrictions on the Cholesky-factorization from JLL-based models.

Usage

CholRestrictionsJLL(SigmaUnres, M, G, N, Economies, DomUnit)

Arguments

SigmaUnres	unrestricted variance-covariance matrix (K X K)
M	number of domestic unspanned factors per country (scalar)
G	number of global unspanned factors (scalar)
N	number of country-specific spanned factors (scalar)
Economies	string-vector containing the names of the economies which are part of the economic system
DomUnit	Name of the economy which is assigned as the dominant unit. If no dominant unit is assigned, then this variable is defined as "none"

Value

restricted version the Cholesky factorization matrix from JLL-based models (K x K)

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