R-package MultiATSM: Multicountry Affine Term Structure of Interest Rates Models
This package provides estimation routines for a number of affine term structure of interest rates models. All the setups 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 (2024) and Candelon and Moura (2023) are also available.
More details on package's usage and functionalities can be found here. See also Moura (2022).