Strategic Asset Allocation in Fixed Income Markets
Download MATLAB code used in the book here
02 AUG 09: printing of results in EX_NS and EX_SS has been updated - thanks to Craig Nelson for finding the bug
03 FEB 09: regime.m now includes additional optional parameter constraints that might facilitate faster convergence (at least in some cases)
03 FEB 09: ols_est.m has been changed
16 JAN 09: a bug has been corrected in NA_a_b.m - thanks to Arjan Berkelaar for spotting it.
16 JAN 09: improvements have been implemented in NA_est.m.
05 FEB 12: Code and slides from the 2012 course at Frankfurt University have been uploaded (in zip format).
05 FEB 12: New Matlab code has been added for example: VAR(p) estimation, and Granger-causality testing.
Slides »
Course outline SAA_Introduction Basic Principles
Intro2Matlab Matrix Algebra Risk and Return
Functions in Matlab Asset Allocation Econometric Tools
Excel sheets »
Data Nelson-Siegel Regime-switching
2012 course materials (incl. updated code library) »
Lecture Notes 1/2 Lecture Notes 2/2 Matlab files
Excel sheets Slides
Privacy Policy »
The content of this web site is not related to or endorsed by my employer. All views expressed here (if any) are mine alone and are not necessarily shared by my employer.
Terms Of Use »
All material on this website is provided "as is" and no warranty is given for the correct functioning of e.g. computer codes. Nothing on this website should be seen as indicating investment advice of any kind. MATLAB code and teaching materials can be downloaded free of charge. Support is not guaranteed (but please do email me if you find bugs or have questions). |