MultiATSM

MultiATSM-package

Estimation of several classes of affine 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) <http://hdl.handle.net/2078.1/249985> are also available.

Rubens Moura

Multicountry Term Structure of Interest Rates Models

MultiATSM function

Rubens Moura <a href="/link/rubens.gtmoura%40gmail.com?package=MultiATSM&version=0.3.6" data-mini-rdoc="MultiATSM::rubens.gtmoura@gmail.com">rubens.gtmoura@gmail.com</a>

Author

ATSM Package — MultiATSM

Rubens Moura <a href='mailto:rubens.gtmoura@gmail.com'>rubens.gtmoura@gmail.com</a>

MultiATSM: ATSM Package

Description

Arguments

Author