R-package MultiATSM: Multicountry Affine 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). Multicountry extensions by Jotikasthira, Le, and Lundblad (2015, JFE) , Candelon and Moura (2023, EM) and Candelon and Moura (2024, JFEC) are also available. The package also provides tools for bias correction as in Bauer Rudebusch and Wu (2012, JBES) , bootstrap analysis, and several graphical/numerical outputs.
For more details on package's usage and functionalities: