Econometric tutoring

I need to understand and to replicate (at least partly) two financial papers but I do not have a sufficiently strong econometric background to do it..

I need someone to help me in implementing in Matlab the estimation procedure.

The required skills are:

- Risk neutral pricing

- Markov-switching VAR

- Hamilton filter

- Kalman Filter


The required tasks will be:

- Help me to find the econometric theory needed and provide me with some practical examples

- Help me in writing the Matlab code

The papers are:

- (Monfort, A., and Renne, J.P. (2011) : "Credit and Liquidity Risks in Euro Area Sovereign Yield Curves", Working Paper, Banque de France n± 352

-Jardet, C., Monfort, A., and Pegoraro F. (2011) : "No-arbitrage Near-Cointegrated VAR(p) Term

Structure Model Term Premia and GDP Growth", Working paper CREST 2011-03.

Taidot: Opetus ja tuutorointi, Rahoitus, Matlab ja Mathematica, Tilastotiede

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Tietoa työnantajasta:
( 2 arvostelua ) Cadro, Switzerland

Projektin tunnus: #1700016

4 freelanceria on tarjonnut keskimäärin %project_bid_stats_avg_sub_18% %project_currencyDetails_sign_sub_19%/tunti tähän työhön


Experienced and qualified

$15 USD / tunti
(19 arvostelua)

Sure, professional from academic institute can help you.

$40 USD / tunti
(26 arvostelua)

Hey, I am interested in helping you. I am about to finish a MSc in Finance, have good background in econometrics, I am well versed with cointegration and asset pricing models in general, and I work very often also wi Lisää

$15 USD / tunti
(5 arvostelua)

Custom Software Development - <b><i>Removed by Admin</i></b>

$33 USD / tunti
(0 arvostelua)