ComputeGFEVDs {MultiATSM}R Documentation

Compute GFEVDs for all models

Description

Compute GFEVDs for all models

Usage

ComputeGFEVDs(
  SIGMA,
  K1Z,
  G0,
  BLoad,
  FactorLabels,
  FacDim,
  MatLength,
  GFEVDhoriz,
  YieldsLabel,
  ModelType,
  Economy,
  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

GFEVDhoriz

Horizon of the analysis

YieldsLabel

Label of bond yields

ModelType

Desired model type

Economy

specific economy under study

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]