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