MultiATSM (Q63794)
From MaRDI portal
Multicountry Term Structure of Interest Rates Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MultiATSM |
Multicountry Term Structure of Interest Rates Models |
Statements
23 November 2023
0 references
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.
0 references
