TimeVarWeights_GVAR: Compute the star variables with time-varying weights

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the star variables with time-varying weights

Description

Compute the star variables with time-varying weights

Usage

TimeVarWeights_GVAR(
  RiskFactors,
  Economies,
  RiskFactors_List,
  ListFactors,
  Wgvar,
  FactorLabels
)

Arguments

RiskFactors	A matrix of the complete set of risk factors (F x T).
Economies	A character vector containing the names of the economies included in the system.
RiskFactors_List	List of domestic risk factors (both spanned and unspanned)
ListFactors	List of risk factors
Wgvar	List of transition matrices
FactorLabels	A list of character vectors with labels for all variables in the model.

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