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:	1.5.0
Depends:	R (≥ 4.3.0)
Imports:	cowplot, ggplot2, hablar, magic, pracma
Suggests:	readxl, testthat (≥ 3.0.0), knitr, rmarkdown, bookdown, kableExtra, magrittr
Published:	2025-10-23
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_1.5.0.tar.gz
Windows binaries:	r-devel: MultiATSM_1.4.0.zip, r-release: MultiATSM_1.4.0.zip, r-oldrel: MultiATSM_1.4.0.zip
macOS binaries:	r-release (arm64): MultiATSM_1.5.0.tgz, r-oldrel (arm64): MultiATSM_1.5.0.tgz, r-release (x86_64): MultiATSM_1.5.0.tgz, r-oldrel (x86_64): MultiATSM_1.5.0.tgz
Old sources:	MultiATSM archive

Linking:

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