Multicountry Term Structure of Interest Rates Models
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Documentation for package ‘MultiATSM’ version 0.3.2
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A B C D E F G I J K L M N O P R S T U V X Y
-- A --
| A0N_MLEdensity_WOE__jointQ_Bootstrap | Compute the maximum likelihood function (joint Q models) - Bootstrap version |
| A0N_MLEdensity_WOE__jointQ_sepSigma_Bootstrap | Compute the maximum likelihood function ("joint Q" models for separate Sigma estimation) - Bootstrap version |
| A0N_MLEdensity_WOE__sepQ_Bootstrap | Compute the maximum likelihood function ("sep Q" models) - Bootstrap version |
| A0N__computeBnAn_jointQ | Compute the cross-section loadings of yields of a canonical A0_N model ("joint Q" models) |
| A0N__computeBnAn_sepQ | Compute the cross-section loadings of yields of a canonical A0_N model ("sep Q" models) |
| aux2true | Map auxiliary (unconstrained) parameters a to constrained parameters b |
-- B --
| Bias_Correc_VAR | Estimate an unbiased VAR(1) using stochastic approximation (Bauer, Rudebusch and Wu, 2012) |
| Bootstrap | Generates the bootstrap-related outputs |
| BootstrapBoundsSet | Builds the confidence bounds and graphs (Bootstrap set) |
| bound2x | Transform a number bounded between a lower bound and upper bound to x by: |
| BR_jps_out | Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017) |
| BUnspannedAdapJoint | Transform B_spanned into B_unspanned for jointQ models |
| BUnspannedAdapSep | Transform B_spanned into B_unspanned for sepQ models |
| BUnspannedAdapSep_BS | Obtain the full form of B unspanned for "sep Q" models within the bootstrap setting |
-- C --
| contain | Check whether one element is a subset of another element |
-- D --
| DatabasePrep | Prepare the GVARFactors database |
| DataForEstimation | Retrieve data from Excel and build the database used in the model estimation |
| DataSet_BS | Prepare the factor set for GVAR models (Bootstrap version) |
| df__dx | Computes numerical first order derivative of f(x) |
-- E --
| estVARbrw | Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012) methodology |
-- F --
| FactorsGVAR | Data: Risk Factors for the GVAR - Candelon and Moura (2021) |
| FEVDandGFEVDbs_jointQ | Creates the confidence bounds and the graphs of FEVDs and GFEVDs after bootstrap ("joint Q" models) |
| FEVDandGFEVDbs_jointQ_Ortho | Creates the confidence bounds and the graphs of FEVDs and GFEVDs after bootstrap (JLL-based models) |
| FEVDandGFEVDbs_sepQ | Creates the confidence bounds and the graphs of FEVDs and GFEVDs after bootstrap ("sep Q" models) |
| FEVDgraphsJLLOrtho | FEVDs graphs for orthogonalized risk factors of JLL-based models |
| FEVDgraphsJoint | FEVDs graphs for ("joint Q" models) |
| FEVDgraphsSep | FEVDs graphs for ("sep Q" models) |
| FEVDjoint | FEVDs for "joint Q" models |
| FEVDjointOrthogoJLL | Orthogonalized FEVDs for JLL models |
| FEVDjointOrthogoJLL_BS | FEVDs after bootstrap for JLL-based models |
| FEVDjoint_BS | FEVDs after bootstrap for "joint Q" models |
| FEVDsep | FEVDs for "sep Q" models |
| FEVDsep_BS | FEVDs after bootstrap for "sep Q" models |
| FitgraphsJoint | Model fit graphs for ("joint Q" models) |
| FitgraphsSep | Model fit graphs for ("sep Q" models) |
| FMN__Rotate | Performs state rotations |
| ForecastYields | Gather bond yields forecasts for all the model types |
| ForecastYieldsJointQ | Bond yields forecasts ("joint Q" models) |
| ForecastYieldsSepQ | Bond yields forecasts ("sep Q" models) |
| Functionf | Set up the vector-valued objective function (Point estimate) |
| Functionf_Boot | Set up the vector-valued objective function (Bootstrap) |
| f_with_vectorized_parameters | Use function f to generate the outputs from a ATSM |
-- G --
| GaussianDensity | computes the density function of a gaussian process |
| genVARbrw | Generate M data sets from VAR(1) model |
| getpara | Extract the parameter values from varargin |
| getx | Obtain the auxiliary values corresponding to each parameter, its size and its name |
| GFEVDgraphsJLLOrtho | GFEVDs graphs for orthogonalized risk factors of JLL-based models |
| GFEVDgraphsJoint | GFEVDs graphs for "joint Q" models |
| GFEVDgraphsSep | GFEVDs graphs for ("sep Q" models) |
| GFEVDjoint | GFEVDs for "joint Q" models |
| GFEVDjointOrthoJLL | Orthogonalized GFEVDs for JLL models |
| GFEVDjointOrthoJLL_BS | GFEVDs after bootstrap for JLL-based models |
| GFEVDjoint_BS | GFEVDs after bootstrap for "joint Q" models |
| GFEVDsep | GFEVDs for "sep Q" models |
| GFEVDsep_BS | GFEVDs after bootstrap for "sep Q" models |
| GIRFgraphsJLLOrtho | GIRFs graphs for orthogonalized risk factors of JLL-based models |
| GIRFgraphsJoint | GIRFs graphs for ("joint Q" models) |
| GIRFgraphsSep | GIRFs graphs for ("sep Q" models) |
| GIRFjoint | GIRFs for "joint Q" models |
| GIRFjointOrthoJLL | Orthogonalized GIRFs for JLL models |
| GIRFjointOrthoJLL_BS | GIRFs after bootstrap for JLL-based models |
| GIRFjoint_BS | GIRFs after bootstrap for "joint Q" models |
| GIRFSep | GIRFs for "sep Q" models |
| GIRFSep_BS | GIRFs after bootstrap for "sep Q" models |
| GraphicalOutputs | Generate the graphical outputs for the selected models (Point estimate) |
| GVAR | Estimate a GVAR(1) and a VARX(1,1,1) |
-- I --
| IdxAllSpanned | Find the indexes of the spanned factors |
| IdxSpanned | Extract the indexes related to the spanned factors in the variance-covariance matrix |
| InputsForMLEdensity | Generates several inputs that are necessary to build the likelihood function |
| InputsForMLEdensity_BS | Generates several inputs that are necessary to build the likelihood function - Bootstrap version |
| InputsForOutputs | Collect the inputs that are used to construct the numerical and the graphical outputs |
| IRFandGIRFbs_jointQ | Creates the confidence bounds and the graphs of IRFs and GIRFs after bootstrap ("joint Q" models) |
| IRFandGIRFbs_jointQ_Ortho | Creates the confidence bounds and the graphs of IRFs and GIRFs after bootstrap (JLL-based models) |
| IRFandGIRFbs_sepQ | Creates the confidence bounds and the graphs of IRFs and GIRFs after bootstrap ("sep Q" models) |
| IRFgraphsJLLOrtho | IRFs graphs for orthogonalized risk factors of JLL-based models |
| IRFgraphsJoint | IRFs graphs for ("joint Q" models) |
| IRFgraphsSep | IRFs graphs for ("sep Q" models) |
| IRFjoint | IRFs for "joint Q" models |
| IRFjointOrthoJLL | Orthogonalized IRFs for JLL models |
| IRFjointOrthoJLL_BS | IRFs after bootstrap for JLL-based models |
| IRFjoint_BS | IRFs after bootstrap for "joint Q" models |
| IRFsep | IRFs for "sep Q" models |
| IRFsep_BS | IRFs after bootstrap for "sep Q" models |
-- J --
| JLL | Set of inputs present at JLL's P-dynamics |
-- K --
| K1XQStationary | Impose stationarity under the Q-measure |
| killa | Eliminates the @ |
-- L --
| LabelsSpanned | Generate the labels of the spanned factors |
| LabelsStar | Generate the labels of the star variables |
| LabFac | Generates the labels factors |
| ListModelInputs | Concatenate the model-specific inputs in a list |
-- M --
| Maturities | Create a vector of numerical maturities in years |
| MLEdensity_jointQ | Compute the maximum likelihood function ("joint Q" models) |
| MLEdensity_jointQ_sepSigma | Compute the maximum likelihood function ("joint Q" models for separate Sigma estimation) |
| MLEdensity_sepQ | Compute the maximum likelihood function ("sep Q" models) |
| ModelPara | Replications of the JPS (2014) outputs by the MultiATSM package |
| MultiATSM | ATSM Package |
| m_var | Find mean or median of OLS when DGP is VAR(1) |
-- N --
| NumOutputs | Construct the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition) |
| NumOutputs_Bootstrap | Numerical outputs (IRFs, GIRFs, FEVD, and GFEVD) for bootstrap |
-- O --
| Optimization | Peform the minimization of mean(f) |
| Optimization_Boot | Peform the minimization of mean(f) (adapted for the bootstrap setting) |
| OutputConstructionJoint | Numerical outputs (variance explained, model fit, IRFs, GIRFs, FEVDs, GFEVDs and risk premia decomposition) for "joint Q" models |
| OutputConstructionJoint_BS | Gathers all the model numerical ouputs after bootstrap for "joint Q" models |
| OutputConstructionSep | Numerical outputs (variance explained, model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition) for "sep Q" models |
| OutputConstructionSep_BS | Gathers all the model numerical ouputs after bootstrap for "sep Q" models |
-- P --
| ParaLabels | Create the variable labels used in the estimation |
| pca_weights_one_country | Weigth matrix from principal components (matrix of eigenvectors) |
| PdynamicsSet_BS | Compute some key parameters from the P-dynamics (Bootstrap set) |
| pos2x | Transform a positive number y to back to x by: |
-- R --
| Reg_K1Q | Estimate the risk-neutral feedbak matrix K1Q using linear regressions |
| Reg__OLSconstrained | Restricted OLS regression |
| RemoveNA | Exclude series that contain NAs |
| RiskFactors | Data: Risk Factors - Candelon and Moura (2021) |
| RiskFactorsGraphs | Spanned and unspanned factors plot |
| RiskFactorsPrep | Builds the complete set of time series of the risk factors (spanned and unspanned) |
| RMSEjoint | Compute the root mean square error ("joint Q" models) |
| RMSEsep | Compute the root mean square error ("sep Q" models) |
-- S --
| shrink_Phi | Killan's VAR stationarity adjustment |
| SpannedFactorsjointQ | Gather all spanned factors ("joint Q" models) |
| SpannedFactorsSepQ | Gather all spanned factors ("sep Q" models) |
| Spanned_Factors | Compute the country-specific spanned factors |
| sqrtm_robust | Compute the square root of a matrix |
| StarFactors | Generates the star variables necessary for the GVAR estimation |
-- T --
| TermPremiaDecompJoint | Decomposition of yields into the average of expected future short-term interest rate and risk premia for "joint Q" models |
| TermPremiaDecompSep | Decomposition of yields into the average of expected future short-term interest rate and risk premia for "joint Q" models |
| TPDecompGraphJoint | Term Premia decomposition graphs for "joint Q" models |
| TPDecompGraphSep | Term Premia decomposition graphs for "joint Q" models |
| TradeFlows | Data: Trade Flows - Candelon and Moura (2021) |
| Transition_Matrix | Compute the transition matrix required in the estimation of the GVAR model |
| true2aux | Map constrained parameters b to unconstrained auxiliary parameters a. |
-- U --
| update_para | converts the vectorized auxiliary parameter vector x to the parameters that go directly into the likelihood function. |
-- V --
| VAR | Estimates a VAR(1) |
| VarianceExplainedJoint | Percentage explained by the spanned factors of the variations in the set of observed yields for "joint Q" models |
| VarianceExplainedSep | Percentage explained by the spanned factors of the variations in the set of observed yields for "sep Q" models |
-- X --
| x2bound | Transform x to a number bounded btw lb and ub by: |
| x2pos | Transform x to a positive number by: y = log(e^x + 1) |
-- Y --
| Yields | Data: Yields - Candelon and Moura (2021) |
| YieldsFitAllJoint | Fit yields for all maturities of interest |
| YieldsFitAllSep | Fit yields for all maturities of interest |
| YieldsFitJoint | Computes two measures of model fit for bond yields |
| YieldsFitsep | Computes two measures of model fit for bond yields |