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Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model
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mpokojovy/HJM-Euro
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% % Forecasting Euro Area Yield Curves Using the Heath-Jarrow-Morton Model % % (C) Michael Pokojovy, Ebenezer Nkum and Thomas M. Fullerton, Jr. (2023) % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% This Matlab code implements calibration of the HJM model with application to forecasting Euro Area yield curves. Run main.m file. Adjust settings if applicable. (C) Michael Pokojovy, Ebenezer Nkum and Thomas M. Fullerton, Jr. (2023) See license for license terms and conditions.
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Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model
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