MultiATSM: Multicountry Term Structure of Interest Rates Models
Package for estimating, analyzing, and forecasting multi-country macro-finance affine term structure models (ATSMs). All setups build on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions by 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. The package also provides tools for bias correction as in Bauer Rudebusch and Wu (2012, JBES) <doi:10.1080/07350015.2012.693855>, bootstrap analysis, and several graphical/numerical outputs.
| Version: | 1.5.1 |
| Depends: | R (≥ 4.3.0) |
| Imports: | cowplot,ggplot2,hablar,magic,pracma |
| Suggests: | readxl,testthat (≥ 3.0.0),knitr,rmarkdown,bookdown,kableExtra,magrittr |
| Published: | 2025-11-05 |
| 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,https://rubensmoura87.github.io/MultiATSM/ |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | MultiATSM results |
Documentation:
| Reference manual: | MultiATSM.html ,MultiATSM.pdf |
| Vignettes: | General Guidelines (source,R code) Paper Replications (source,R code) |
Downloads:
| Package source: | MultiATSM_1.5.1.tar.gz |
| Windows binaries: | r-devel:MultiATSM_1.5.1.zip, r-release:MultiATSM_1.5.1.zip, r-oldrel:MultiATSM_1.5.1.zip |
| macOS binaries: | r-release (arm64):MultiATSM_1.5.1.tgz, r-oldrel (arm64):MultiATSM_1.5.1.tgz, r-release (x86_64):MultiATSM_1.5.1.tgz, r-oldrel (x86_64):MultiATSM_1.5.1.tgz |
| Old sources: | MultiATSM archive |
Linking:
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