RiskFactors {MultiATSM}

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

Description

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

Risk factors data used in Candelon and Moura (2023)

Usage

data("CM_Factors")

data("CM_Factors_2023")

Format

matrix containing the risk factors of the models

matrix containing the risk factors of the models

References

Candelon, B. and Moura, R. "A Multicountry Model of the Term Structures of Interest Rates with a GVAR".

Candelon, B. and Moura, R. "Sovereign yield curves and the COVID-19 in emerging markets".