JLL: Estimates the P-dynamics from JLL-based models

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Estimates the P-dynamics from JLL-based models

Description

Estimates the P-dynamics from JLL-based models

Usage

JLL(NonOrthoFactors, N, JLLinputs, CheckInputs = FALSE)

Arguments

NonOrthoFactors	A numeric matrix (F x T) representing the time series of risk factors before the orthogonalization process.
N	Integer. Number of country-specific spanned factors.
JLLinputs	List of necessary inputs to estimate JLL models: Economies: set of economies that are part of the economic system (string-vector) DomUnit: A string specifying the name of the economy assigned as the dominant unit. If no dominant unit is assigned, set this variable to "None". WishSigmas: Set to "1" if the user wishes to estimate the variance-covariance matrices and Cholesky factorizations (this can take a long time). Set to "0" if not. SigmaNonOrtho: A NULL value or an F x F matrix from the non-orthogonalized dynamics. JLLModelType: A string specifying the type of JLL model. Available options are: "JLL original", "JLL joint Sigma", or "JLL No DomUnit".
CheckInputs	A logical flag to indicate whether to perform a prior consistency check on the inputs provided in JLLinputs. The default is set to FALSE

Value

List of model parameters from both the orthogonalized and non-orthogonalized versions of the JLL's based models

References

Jotiskhatira, Le and Lundblad (2015). "Why do interest rates in different currencies co-move?" (Journal of Financial Economics)

Examples

data(CM_Factors)
RF_TS <- RiskFactors
N <- 3

JLLinputs <- list(Economies = c("China", "Brazil", "Mexico", "Uruguay"), DomUnit = "China",
                  WishSigmas = 1, SigmaNonOrtho = NULL, JLLModelType = "JLL original")

JLLPara <- JLL(RF_TS, N, JLLinputs)

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