IDXZeroRestrictionsJLLVarCovOrtho: Find the indexes of zero-restrictions from the orthogonalized...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Find the indexes of zero-restrictions from the orthogonalized variance-covariance matrix from the JLL-based models

Description

Find the indexes of zero-restrictions from the orthogonalized variance-covariance matrix from the JLL-based models

Usage

IDXZeroRestrictionsJLLVarCovOrtho(M, N, G, Economies, DomUnit)

Arguments

M	number of country-specific unspanned factors (scalar)
N	number of country-specific spanned factors (scalar)
G	number of global unspanned factors (scalar)
Economies	Set of economies that are part of the economic system (string-vector)
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 of the JLL of the Cholesky factorization (F x F)

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