GitHub - mpokojovy/HJM-Euro: Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model

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Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model

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Name		Name	Last commit message	Last commit date
Latest commit History 1 Commit
HJM_fwd_map.m		HJM_fwd_map.m
HJM_inv_map.m		HJM_inv_map.m
README		README
license		license
main.m		main.m
yield_2018_euro_yield.csv		yield_2018_euro_yield.csv
yield_2019_euro_yield.csv		yield_2019_euro_yield.csv

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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.