Get_SSZ_BC: Compute the variance-covariance matrix after the bias...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the variance-covariance matrix after the bias correction procedure

Description

Compute the variance-covariance matrix after the bias correction procedure

Usage

Get_SSZ_BC(K1Z_BC, RiskFactors, GVARinputs, JLLinputs, FactorLabels, ModelType)

Arguments

K1Z_BC	Feedback matrix resulting from the bias-correction procedure
RiskFactors	time series of the risk factors (T x F)
GVARinputs	inputs used in the estimation of the GVAR-based models (see "GVAR" function). Default is set to NULL
JLLinputs	inputs used in the estimation of the JLL-based models (see "JLL" function). Default is set to NULL
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

MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.