Get_SigmaYields: Compute the variance-covariance matrix of the bond yields

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the variance-covariance matrix of the bond yields

Description

Compute the variance-covariance matrix of the bond yields

Usage

Get_SigmaYields(YieldsTS, N, mat, WpcaFull, se, ModelType)

Arguments

YieldsTS	matrix of yields used in estimation (J x T or CJ x T)
N	number of country-specific spanned factors
mat	vector of maturities (in years) of yields used in estimation (J x 1)
WpcaFull	composite matrix of weights the portfolios observed with and without errors
se	Variance of the portfolio of yields observed with error (scalar). Default is set to NULL
ModelType	string-vector containing the label of the model to be estimated

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