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AR(1) version of State-Space Model (SSM) framework
Hi guys, I am using the SSM framework to estimate the yield curve model of Diebold-Li, similar as in https://nl.mathworks.com/h...
environ 7 ans il y a | 1 réponse | 0
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réponseQuestion
How to get the standard errors of the coefficients in the covariance matrix?
Hi everyone, I am estimating a VAR(1) model for my data EstMdlVAR = estimate(varm(3,1), beta, 'Display', 'full'); % Fit all 3...
environ 7 ans il y a | 1 réponse | 0
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réponseQuestion
How to make a yield curve surface plot
Hi everyone, I would like to make a surface plot (3D plot) of my yield curve data, but I am stuck on how to do this. My yield ...
environ 7 ans il y a | 1 réponse | 0
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Maximizing the loglikelihood in the Kim and Nelson filter
Hi everyone, I am trying to implement the Kim and Nelson filter in a regime-switching Nelson-Siegel model. The code I use is s...
environ 7 ans il y a | 1 réponse | 0
