GitHub - FredericGodinQC/DTAFNS_model: Companion code written by Dr. Ramin Eghbalzadeh for the paper 'The discrete-time arbitrage-free Nelson–Siegel model: a closed-form solution and applications to mixed funds representation'

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Companion code written by Dr. Ramin Eghbalzadeh for the paper 'The discrete-time arbitrage-free Nelson–Siegel model: a closed-form solution and applications to mixed funds representation'

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Name		Name	Last commit message	Last commit date
Latest commit History 5 Commits
1986-01-01_G3_discrete_lambda1_0_lambda2_include_rho_include_summary.csv		1986-01-01_G3_discrete_lambda1_0_lambda2_include_rho_include_summary.csv
DATA_returns_all.csv		DATA_returns_all.csv
DTAFNS_calibration_loglike.R		DTAFNS_calibration_loglike.R
DTAFNS_summary.csv		DTAFNS_summary.csv
RCODE2_Bivariate_EGARCH_Estimation.r		RCODE2_Bivariate_EGARCH_Estimation.r
RCODE3_Fund_Model_Estimation.R		RCODE3_Fund_Model_Estimation.R
TSX_SP500_1986-02-28_2022-02-09_EGARCH_single.csv		TSX_SP500_1986-02-28_2022-02-09_EGARCH_single.csv
TSX_SP500_1986-02-28_2022-02-09_EGARCH_single_output_vars.csv		TSX_SP500_1986-02-28_2022-02-09_EGARCH_single_output_vars.csv
expr_egarch_bivariate_load_data.r		expr_egarch_bivariate_load_data.r
function_DTAFNS.R		function_DTAFNS.R
functions_egarch_bivariate.r		functions_egarch_bivariate.r
fund_param.RData		fund_param.RData
stock_param.RData		stock_param.RData
volatility_f_simul.R		volatility_f_simul.R
yield_curves.csv		yield_curves.csv

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Companion code written by Dr. Ramin Eghbalzadeh for the paper 'The discrete-time arbitrage-free Nelson–Siegel model: a closed-form solution and applications to mixed funds representation'

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