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

Risk factors data used in the GVAR models - Candelon and Moura (2024, JFEC)

Usage

data("CM_Factors_GVAR")

Format

list containing the variables used in the GVAR models

References

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