pca_weights_one_country function

Computes the PCA weights for a single country

pca_weights_one_country(Yields, Economy)

Arguments

• Yields: A matrix of bond yields (J x T) for a single country, where J is the number of maturities and T is the time series length.
• Economy: A character string indicating the name of the economy.

Returns

A matrix (J x J) that corresponds to the eigenvectors of the variance-covariance matrix of yields

Examples

data(CM_Yields)
Economy <- "Mexico"
pca_weights <- pca_weights_one_country(Yields, Economy)