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MultiATSM  

Multicountry Term Structure of Interest Rates Models
View on CRAN: Click here


Download and install MultiATSM package within the R console
Install from CRAN:
install.packages("MultiATSM")

Install from Github:
library("remotes")
install_github("cran/MultiATSM")

Install by package version:
library("remotes")
install_version("MultiATSM", "1.0.0")



Attach the package and use:
library("MultiATSM")
Maintained by
Rubens Moura
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-11-02
Latest Update: 2023-08-23
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) . Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015) , Candelon and Moura (2021) , and Candelon and Moura (2023) are also available.
How to cite:
Rubens Moura (2021). MultiATSM: Multicountry Term Structure of Interest Rates Models. R package version 1.0.0, https://cran.r-project.org/web/packages/MultiATSM. Accessed 22 Dec. 2024.
Previous versions and publish date:
0.0.1 (2021-11-02 09:20), 0.1.1 (2022-02-28 10:30), 0.2.1 (2022-04-15 00:22), 0.2.2 (2022-06-02 13:30), 0.2.3 (2022-08-29 11:10), 0.2.4 (2022-10-03 12:00), 0.3.1 (2023-03-08 17:30), 0.3.2 (2023-03-21 01:40), 0.3.3 (2023-08-16 09:02), 0.3.4 (2023-08-23 17:20), 0.3.5 (2023-11-23 08:10), 0.3.6 (2024-04-29 20:50), 1.0.0 (2024-10-15 08:40)
Other packages that cited MultiATSM R package
View MultiATSM citation profile
Other R packages that MultiATSM depends, imports, suggests or enhances
Complete documentation for MultiATSM
Functions, R codes and Examples using the MultiATSM R package
Some associated functions: A0N_MLEdensity_WOE__jointQ_Bootstrap . A0N_MLEdensity_WOE__jointQ_sepSigma_Bootstrap . A0N_MLEdensity_WOE__sepQ_Bootstrap . A0N__computeBnAn_jointQ . A0N__computeBnAn_sepQ . BR_jps_out . BUnspannedAdapJoint . BUnspannedAdapSep . BUnspannedAdapSep_BS . Bootstrap . BootstrapBoundsSet . CholRestrictionsJLL . Convert2JordanForm . DataForEstimation . DataSet_BS . DatabasePrep . EstimationSigma_GVARrest . EstimationSigma_Ye . FEVDandGFEVDbs_jointQ . FEVDandGFEVDbs_jointQ_Ortho . FEVDandGFEVDbs_sepQ . FEVDgraphsJLLOrtho . FEVDgraphsJoint . FEVDgraphsSep . FEVDjoint . FEVDjointOrthogoJLL . FEVDjointOrthogoJLL_BS . FEVDjoint_BS . FEVDsep . FEVDsep_BS . FMN__Rotate . FactorsGVAR . FeedbackMatrixRestrictionsJLL . FitgraphsJoint . FitgraphsSep . FolderCreationBoot . FolderCreationPoint . ForecastYields . ForecastYieldsJointQ . ForecastYieldsSepQ . Functionf . Functionf_Boot . GFEVDgraphsJLLOrtho . GFEVDgraphsJoint . GFEVDgraphsSep . GFEVDjoint . GFEVDjointOrthoJLL . GFEVDjointOrthoJLL_BS . GFEVDjoint_BS . GFEVDsep . GFEVDsep_BS . GIRFSep . GIRFSep_BS . GIRFgraphsJLLOrtho . GIRFgraphsJoint . GIRFgraphsSep . GIRFjoint . GIRFjointOrthoJLL . GIRFjointOrthoJLL_BS . GIRFjoint_BS . GVAR . GaussianDensity . GraphicalOutputs . IDXZeroRestrictionsJLLVarCovOrtho . IRFandGIRFbs_jointQ . IRFandGIRFbs_jointQ_Ortho . IRFandGIRFbs_sepQ . IRFgraphsJLLOrtho . IRFgraphsJoint . IRFgraphsSep . IRFjoint . IRFjointOrthoJLL . IRFjointOrthoJLL_BS . IRFjoint_BS . IRFsep . IRFsep_BS . IdxAllSpanned . IdxSpanned . InputsForMLEdensity . InputsForMLEdensity_BS . InputsForOutputs . JLL . K1XQStationary . LabFac . LabelsSpanned . LabelsStar . MLEdensity_jointQ . MLEdensity_jointQ_sepSigma . MLEdensity_sepQ . Maturities . ModelPara . MultiATSM . NumOutputs . NumOutputs_Bootstrap . Optimization . Optimization_Boot . OutputConstructionJoint . OutputConstructionJoint_BS . OutputConstructionSep . OutputConstructionSep_BS . ParaLabels . PdynamicsSet_BS . RMSEjoint . RMSEsep . Reg_K1Q . Reg__OLSconstrained . RemoveNA . RiskFactors . RiskFactorsGraphs . RiskFactorsPrep . SpannedFactorsSepQ . SpannedFactorsjointQ . Spanned_Factors . StarFactors . TradeFlows . Transition_Matrix . VAR . VarianceExplainedJoint . VarianceExplainedSep . Yields . YieldsFitJoint . YieldsFitsep . aux2true . bound2x . contain . df__dx . f_with_vectorized_parameters . getpara . getx . killa . llk_JLL_Sigma . logdet . mult__inv . mult__prod . mult_inv_large . mult_inv_small . mult_logabsdet . multiprod_2terms . pca_weights_one_country . pos2x . sqrtm_robust . true2aux . update_para . x2bound . x2pos . 
Some associated R codes: A0N__computeBnAn.R . AuxiliarBootstrapFunctions.R . BR_jps_gro_R3.R . Bootstrap.R . CM_Factors.R . CM_Factors_GVAR.R . CM_Trade.R . CM_Yields.R . CM_repJPS.R . CholRestrictionsJLL.R . ConfidenceBoundsBootstrap.R . DataForEstimation.R . DatabasePrep.R . EstimationSigma_Ye.R . FMN__Rotate.R . FeedbackMatrixRestrictionsJLL.R . Folder_Creation.R . ForecastYields.R . Functionf.R . GVAR.R . GaussianDensity.R . GraphicalOutputs.R . InputsForMLEdensity.R . InputsForOutputs.R . JLL.R . K1XQStationary.R . LabFac.R . MLEdensity.R . Maturities.R . MinorOptimizationFunctions.R . MultiATSM.R . NumOutputs.R . NumOutputsBootstrap.R . Optimization.R . Reg_K1Q.R . Reg__OLSconstrained.R . RiskFactorsPrep.R . Spanned_Factors.R . StarFactors.R . Transition_Matrix.R . VAR.R . VariableLabelsOptimization.R . df__dx.R . f_with_vectorized_parameters.R . getx.R . llk_JLL_Sigma.R . logdet.R . mult_Set_Functions.R . pca_weights_one_country.R .  Full MultiATSM package functions and examples
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