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.

Last 30 days

This package has been downloaded 382 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 16 times.

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 6,510 times in the last 365 days. Impressive! The kind of number that makes colleagues ask, 'How did you do it?' 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.