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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.5.1-1 |
rolling linux/jammy R-4.5 | MultiATSM_1.5.1-1.tar.gz |
2.8 MiB |
1.5.1-1 |
rolling linux/noble R-4.5 | MultiATSM_1.5.1-1.tar.gz |
2.8 MiB |
1.5.1-1 |
rolling source/ R- | MultiATSM_1.5.1-1.tar.gz |
2.0 MiB |
1.5.1-1 |
latest linux/jammy R-4.5 | MultiATSM_1.5.1-1.tar.gz |
2.8 MiB |
1.5.1-1 |
latest linux/noble R-4.5 | MultiATSM_1.5.1-1.tar.gz |
2.8 MiB |
1.5.1-1 |
latest source/ R- | MultiATSM_1.5.1-1.tar.gz |
2.0 MiB |
1.5.1-1 |
2026-04-26 source/ R- | MultiATSM_1.5.1-1.tar.gz |
2.0 MiB |
1.5.1-1 |
2026-04-23 source/ R- | MultiATSM_1.5.1-1.tar.gz |
2.0 MiB |
1.5.1-1 |
2026-04-09 windows/windows R-4.5 | MultiATSM_1.5.1-1.zip |
2.8 MiB |
1.3.0 |
2025-04-20 source/ R- | MultiATSM_1.3.0.tar.gz |
747.8 KiB |