YieldBounds_IRFandGIRF: Compute the confidence bounds for the model bond...

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the confidence bounds for the model bond yield-related outputs

Description

Compute the confidence bounds for the model bond yield-related outputs

Usage

YieldBounds_IRFandGIRF(
  ModelBootstrap,
  quants,
  ModelType,
  ndraws,
  Horiz,
  FacDim,
  YieDim,
  LabIRF,
  Economies
)

Arguments

ModelBootstrap	numerical output set from the bootstrap analysis
quants	quantile of the confidence bounds
ModelType	desired model type
ndraws	number of draws
Horiz	horizon of numerical outputs
FacDim	dimension of the risk factor set
YieDim	dimension of the bond yield set
LabIRF	vector containing the labels "IRF" and "GIRF"
Economies	Economies that are part of the economic system

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