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) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015) <doi:10.1016/j.jfineco.2014.09.004> and Candelon and Moura (2021) <http://hdl.handle.net/2078.1/249985> are also available.

Version:	0.2.4
Depends:	R (≥ 3.5.0)
Imports:	zoo, pracma, wrapr, hablar, ggplot2
Suggests:	readxl, readr, magic, Jmisc, functional, cowplot, powerplus, reshape2, sjmisc, stringr, knitr, rmarkdown, bookdown, kableExtra, neldermead, magrittr
Published:	2022-10-03
Author:	Rubens Moura
Maintainer:	Rubens Moura <rubens.gtmoura at gmail.com>
License:	GPL-2 | GPL-3
NeedsCompilation:	no
CRAN checks:	MultiATSM results

Documentation:

Reference manual:	MultiATSM.pdf
Vignettes:	Vignette for package MultiATSM

Downloads:

Package source:	MultiATSM_0.2.4.tar.gz
Windows binaries:	r-devel: MultiATSM_0.2.4.zip, r-release: MultiATSM_0.2.4.zip, r-oldrel: MultiATSM_0.2.4.zip
macOS binaries:	r-release (arm64): MultiATSM_0.2.4.tgz, r-oldrel (arm64): MultiATSM_0.2.4.tgz, r-release (x86_64): MultiATSM_0.2.4.tgz, r-oldrel (x86_64): MultiATSM_0.2.4.tgz
Old sources:	MultiATSM archive

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