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.
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
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