Get_Sigma_JLL function

Compute Sigmas/Cholesky factorizations

Get_Sigma_JLL(JLLinputs, FacSet, Para_Ortho_Reg, Para_Ortho_VAR, N)

Arguments

• JLLinputs: List of necessary inputs to estimate JLL-based setups
• FacSet: Set of factors used in the estimation of JLL-based setups
• Para_Ortho_Reg: Set of parameters obtained from the JLL regressions
• Para_Ortho_VAR: Set of parameters obtained from the VAR(1) of JLL-based models
• N: number of country-specific spanned factors (scalar)