MultiATSM

CRANMultiATSMMaRDI QIDQ63794FDOQ63794

Multicountry Term Structure of Interest Rates Models

Rubens Moura

Last update: 23 November 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.3.2, 0.0.1, 0.1.1, 0.2.1, 0.2.2, 0.2.3, 0.2.4, 0.3.1, 0.3.3, 0.3.4, 0.3.5

Description

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.

Cites work

• Sovereign yield curves and the COVID-19 in emerging markets
• Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
• Why do term structures in different currencies co-move?

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