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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.
Getting started
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Package details |
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| Author | Rubens Moura [aut, cre] (<https://orcid.org/0000-0001-8105-4729>) |
| Maintainer | Rubens Moura <rubens.gtmoura@gmail.com> |
| License | GPL-2 | GPL-3 |
| Version | 1.3.0 |
| URL | https://github.com/rubensmoura87/MultiATSM |
| Package repository | View on CRAN |
| Installation |
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