load.LW: load Liu-Wu Yield Data
In ottosven/dffm: Approximate Functional Factor Model
load.LW R Documentation
load Liu-Wu Yield Data
Description
Function which provides data from Liu-Wu Yield Data via the following website:
https://sites.google.com/view/jingcynthiawu/yield-data
Usage
load.LW()
Details
Yan Liu and Jing Cynthia Wu "Reconstructing the Yield Curve", Journal of Financial Economics, 2021, 142 (3), 1395-1425.
Value
Annualized continuously-compounded zero-coupon yields in percentage points. Each column corresponds to a maturity between 1 to 360 months.
Examples
data = load.LW()
ottosven/dffm documentation built on Feb. 23, 2025, 1:15 p.m.
R Package Documentation
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| load.LW | R Documentation |
load Liu-Wu Yield Data
Description
Function which provides data from Liu-Wu Yield Data via the following website: https://sites.google.com/view/jingcynthiawu/yield-data
Usage
load.LW()
Details
Yan Liu and Jing Cynthia Wu "Reconstructing the Yield Curve", Journal of Financial Economics, 2021, 142 (3), 1395-1425.
Value
Annualized continuously-compounded zero-coupon yields in percentage points. Each column corresponds to a maturity between 1 to 360 months.
Examples
data = load.LW()
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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