GlobalMacroVar {MultiATSM}R Documentation

Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)

Description

Risk factors data used in Candelon and Moura (forthcoming, JFEC)

Usage

data("CM_GlobalMacroFactors")

Format

matrix containing the risk factors of the models

References

Candelon, B. and Moura, R. (Forthcoming) "A Multicountry Model of the Term Structures of Interest Rates with a GVAR". (Journal of Financial Econometrics)


[Package MultiATSM version 1.1.0 Index]