Get_SigmaYields function

Compute the variance-covariance matrix of the bond yields

Get_SigmaYields(YieldsTS, N, mat, WpcaFull, se, ModelType)

Arguments

• YieldsTS: matrix of yields used in estimation (J x T or CJ x T)
• N: number of country-specific spanned factors
• mat: vector of maturities (in years) of yields used in estimation (J x 1)
• WpcaFull: composite matrix of weights the portfolios observed with and without errors
• se: Variance of the portfolio of yields observed with error (scalar). Default is set to NULL
• ModelType: string-vector containing the label of the model to be estimated