Get_Sigma_JLL: Compute Sigmas/Cholesky factorizations
In MultiATSM: Multicountry Term Structure of Interest Rates Models
Get_Sigma_JLL R Documentation
Compute Sigmas/Cholesky factorizations
Description
Compute Sigmas/Cholesky factorizations
Usage
Get_Sigma_JLL(JLLinputs, FacSet, Para_Ortho_Reg, Para_Ortho_VAR, N)
Arguments
JLLinputs
List of necessary inputs to estimate JLL-based setups
FacSet
Set of factors used in the estimation of JLL-based setups
Para_Ortho_Reg
Set of parameters obtained from the JLL regressions
Para_Ortho_VAR
Set of parameters obtained from the VAR(1) of JLL-based models
N
number of country-specific spanned factors (scalar)
MultiATSM documentation built on April 4, 2025, 1:40 a.m.
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| Get_Sigma_JLL | R Documentation |
Compute Sigmas/Cholesky factorizations
Description
Compute Sigmas/Cholesky factorizations
Usage
Get_Sigma_JLL(JLLinputs, FacSet, Para_Ortho_Reg, Para_Ortho_VAR, N)
Arguments
JLLinputs |
List of necessary inputs to estimate JLL-based setups |
FacSet |
Set of factors used in the estimation of JLL-based setups |
Para_Ortho_Reg |
Set of parameters obtained from the JLL regressions |
Para_Ortho_VAR |
Set of parameters obtained from the VAR(1) of JLL-based models |
N |
number of country-specific spanned factors (scalar) |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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