Yields {MultiATSM}

Data: Yields - Candelon and Moura (forthcoming, JFEC)

Description

Yields data used in Candelon and Moura (forthcoming, JFEC)

Bond yield data used in Candelon and Moura (2023)

Usage

data("CM_Yields")

data("CM_Yields_2023")

Format

matrix containing the Yields of the models

matrix containing the Yields 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".