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.