RiskFactorsPrep: Builds the complete set of time series of the risk factors...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Builds the complete set of time series of the risk factors (spanned and unspanned)

Description

Builds the complete set of time series of the risk factors (spanned and unspanned)

Usage

RiskFactorsPrep(
  FactorSet,
  Economies,
  FactorLabels,
  Initial_Date,
  Final_Date,
  DataFrequency
)

Arguments

FactorSet	Factor set list (see e.g. "CM_Factors_GVAR" data file)
Economies	A character vector containing the names of the economies included in the system.
FactorLabels	A list of character vectors with labels for all variables in the model.
Initial_Date	Start date of the sample period in the format yyyy-mm-dd
Final_Date	End date of the sample period in the format yyyy-mm-dd
DataFrequency	A character vector specifying the data frequency. Available options: "Daily All Days", "Daily Business Days", "Weekly", "Monthly", "Quarterly", "Annually".

Value

Risk factors used in the estimation of the desired ATSM

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