Yields function

Data: Yields - Candelon and Moura (2024, JFEC)

Yields data used in Candelon and Moura (2024, JFEC)

Bond yield data used in Candelon and Moura (2023) data

Format

matrix containing the Yields of the models

matrix containing the Yields of the models

data("CM_Yields")

data("CM_Yields_2023")

References

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

Candelon, B. and Moura, R. (2023) "Sovereign yield curves and the COVID-19 in emerging markets". (Economic Modelling)