MultiATSM

Multicountry Term Structure of Interest Rates Models

CRAN Package

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.


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Last 30 days

This package has been downloaded 378 times in the last 30 days. Now we're getting somewhere! Enough downloads to populate a lively group chat. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 30 times.

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0 downloadsMar 2, 2025
6 downloadsMar 3, 2025
11 downloadsMar 4, 2025
32 downloadsMar 5, 2025
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94 downloadsMar 28, 2025
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30 downloadsApr 1, 2025
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The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 6,526 times in the last 365 days. A solid achievement! Enough downloads to get noticed at department meetings. The day with the most downloads was Mar 28, 2025 with 94 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


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Dependencies

  • Imports2 packages
  • Suggests16 packages