GlobalMacroVar function

Data: Risk Factors - Candelon and Moura (2024, JFEC)

Risk factors data used in Candelon and Moura (2024, JFEC) data

Format

matrix containing the risk factors of the models

data("CM_GlobalMacroFactors")

References

Candelon, B. and Moura, R. (2024) "A Multicountry Model of the Term Structures of Interest Rates with a GVAR". (Journal of Financial Econometrics)