This repository contains various codes that I have used in my research, mostly before 2017 (I then switched from Matlab to Python) The folder Econometrics contains functions to estimate GARCH processes of various types. It also contains codes for Kalman filtering. GMM estimation. Kernel density estimation. LeanMatlab contains MatlabLearn.pdf and Learning1.m, Learning2.m and Learning3.m. If you run those codes, you should understand the basics of Matlab. PortfolioAlloc contains a function to implement the Markowitz efficient frontier. The formuals come from the Chi-Fu Huang/Litzenberger book but can be found elsewhere too. RND various implementations to estimate risk neutral densities. Also allows to forcast them and to construct estimates of the intrtemporal marginal rate of substitution. Various contains a program to do run the bisection algorithm, to simulate Poisson processes, and various other things