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>, Candelon and Moura (2021) <http://hdl.handle.net/2078.1/249985>, and Candelon and Moura (2023) <doi:10.1016/j.econmod.2023.106453> are also available.
| Version: | 0.3.5 |
| Depends: | R (≥ 3.5.0) |
| Imports: | zoo, pracma, wrapr, hablar, ggplot2 |
| Suggests: | readxl, readr, magic, Jmisc, functional, cowplot, reshape2, sjmisc, stringr, knitr, rmarkdown, bookdown, kableExtra, neldermead, magrittr |
| Published: | 2023-11-23 |
| Author: | Rubens Moura |
| Maintainer: | Rubens Moura <rubens.gtmoura at gmail.com> |
| License: | GPL-2 | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | MultiATSM results |
| Reference manual: | MultiATSM.pdf |
| Vignettes: |
Paper Replications General Guidelines |
| Package source: | MultiATSM_0.3.5.tar.gz |
| Windows binaries: | r-devel: MultiATSM_0.3.5.zip, r-release: MultiATSM_0.3.5.zip, r-oldrel: MultiATSM_0.3.5.zip |
| macOS binaries: | r-release (arm64): MultiATSM_0.3.5.tgz, r-oldrel (arm64): MultiATSM_0.3.5.tgz, r-release (x86_64): MultiATSM_0.3.5.tgz, r-oldrel (x86_64): MultiATSM_0.3.4.tgz |
| Old sources: | MultiATSM archive |
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