MATLAB
Materials supporting the paper A Terminal Rate Approach to Dissecting Term Premia (joint with Johannes Kramer):
Materials included in A practitioners guide to discrete time yield curve modelling:
Materials included in Strategic Asset Allocation in Fixed Income Markets: A Matlab Based User’s Guide:
- download MATLAB code here
- download previous version of the text here
- Note that the MATLAB code is written for R2008, so parts of the code may need to be updated.
Code for estimating various dynamic yield curve models (condensed version of codes also included above)
Code for estimating the Smith-Wilson yield curve model
Code for performing Diebold-Yilmaz spill-over analysis
This post is licensed under CC BY 4.0 by the author.