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) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2021) <>, and Candelon and Moura (2023) <doi:10.1016/j.econmod.2023.106453> are also available.

Version: 0.3.5
Depends: R (≥ 3.5.0)
Imports: zoo, pracma, wrapr, hablar, ggplot2
Suggests: readxl, readr, magic, Jmisc, functional, cowplot, reshape2, sjmisc, stringr, knitr, rmarkdown, bookdown, kableExtra, neldermead, magrittr
Published: 2023-11-23
Author: Rubens Moura
Maintainer: Rubens Moura <rubens.gtmoura at>
License: GPL-2 | GPL-3
NeedsCompilation: no
CRAN checks: MultiATSM results


Reference manual: MultiATSM.pdf
Vignettes: Paper Replications
General Guidelines


Package source: MultiATSM_0.3.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): MultiATSM_0.3.5.tgz, r-oldrel (arm64): MultiATSM_0.3.5.tgz, r-release (x86_64): MultiATSM_0.3.5.tgz
Old sources: MultiATSM archive


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