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 (2024, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.
Version: 1.3.1 Depends: R (≥ 4.3.0) Imports: ggplot2 Suggests: readxl, cowplot, magic, reshape2, pracma, knitr, rmarkdown, bookdown, kableExtra, neldermead, magrittr, hablar Published: 2025-05-11 DOI: 10.32614/CRAN.package.MultiATSM Author: Rubens Moura [aut, cre] Maintainer: Rubens Moura <rubens.gtmoura at gmail.com> BugReports: https://github.com/rubensmoura87/MultiATSM/issues License: GPL-2 | GPL-3 URL: https://github.com/rubensmoura87/MultiATSM NeedsCompilation: no CRAN checks: MultiATSM results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=MultiATSM to link to this page.
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