ComputeFEVDs {MultiATSM}R Documentation

Compute FEVDs for all models

Description

Compute FEVDs for all models

Usage

ComputeFEVDs(
  SIGMA,
  K1Z,
  G0,
  BLoad,
  FactorLabels,
  FacDim,
  MatLength,
  FEVDhoriz,
  YieldsLabel,
  ModelType,
  Economy = NULL,
  CholFac_JLL = NULL,
  PI = NULL,
  Mode = FALSE
)

Arguments

SIGMA

Variance-covariance matrix

K1Z

Loading As

G0

contemporaneous terms

BLoad

Loading Bs

FactorLabels

List containing the label of factors

FacDim

Dimension of the P-dynamics

MatLength

Length of the maturity vector

FEVDhoriz

Horizon of the analysis

YieldsLabel

Label of bond yields

ModelType

Desired model type

Economy

specific economy under study

CholFac_JLL

Cholesky factorization term from JLL models

PI

matrix PI for JLL-based models

Mode

allows for the orthogonalized version in the case of JLL-based models

References


[Package MultiATSM version 1.3.1 Index]