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.
- Version1.2.0
- R versionR (≥ 4.3.0)
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release01/27/2025
Documentation
Team
Rubens Moura
MaintainerShow author details
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Last 30 days
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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.
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Dependencies
- Imports2 packages
- Suggests16 packages