MultiATSM

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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