MultiATSM: Multicountry Term Structure of Interest Rates Models

Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (Forthcoming, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Version: 1.0.0
Depends: R (≥ 4.3.0)
Imports: zoo, pracma, wrapr, hablar, ggplot2
Suggests: readxl, readr, magic, Jmisc, functional, cowplot, reshape2, sjmisc, stringr, knitr, rmarkdown, bookdown, kableExtra, neldermead, magrittr
Published: 2024-10-15
DOI: 10.32614/CRAN.package.MultiATSM
Author: Rubens Moura ORCID iD [aut, cre]
Maintainer: Rubens Moura <rubens.gtmoura at gmail.com>
License: GPL-2 | GPL-3
NeedsCompilation: no
CRAN checks: MultiATSM results

Documentation:

Reference manual: MultiATSM.pdf
Vignettes: General Guidelines (source, R code)
Paper Replications (source, R code)

Downloads:

Package source: MultiATSM_1.0.0.tar.gz
Windows binaries: r-devel: MultiATSM_1.0.0.zip, r-release: MultiATSM_1.0.0.zip, r-oldrel: MultiATSM_1.0.0.zip
macOS binaries: r-release (arm64): MultiATSM_1.0.0.tgz, r-oldrel (arm64): MultiATSM_1.0.0.tgz, r-release (x86_64): MultiATSM_1.0.0.tgz, r-oldrel (x86_64): MultiATSM_1.0.0.tgz
Old sources: MultiATSM archive

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