FactorsGVAR {MultiATSM} | R Documentation |
Data: Risk Factors for the GVAR - Candelon and Moura (2024, JFEC)
Description
Risk factors data used in the GVAR models - Candelon and Moura (2024, JFEC)
Usage
data("CM_Factors_GVAR")
Format
list containing the variables used in the GVAR models
References
Candelon, B. and Moura, R. (2024) "A Multicountry Model of the Term Structures of Interest Rates with a GVAR". (Journal of Financial Econometrics)
[Package MultiATSM version 1.3.1 Index]