EstimationSigma_Ye: Estimate numerically the Cholesky-factorization from the...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Estimate numerically the Cholesky-factorization from the JLL-based models

Description

Estimate numerically the Cholesky-factorization from the JLL-based models

Usage

EstimationSigma_Ye(SigmaUnres, res, M, G, Economies, DomUnit)

Arguments

SigmaUnres	unrestricted variance-covariance matrix (K x K)
res	residuals from the VAR of the JLL model (K x T)
M	number of domestic unspanned factors per country (scalar)
G	number of global unspanned 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

Cholesky-factorization after the maximization (K x K)

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