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Ken Nyholm                       


email: Ken.Nyholm@googlemail.com

Link to my CV

Hello and welcome.


August 2019:

I have added two things. (1) In the MATLAB section there are functionalities that allow for easy estimation of several term structure models, and calculation of e.g. the expectation component and the term structure of term premia. The functionalities are collected in a MATLAB class. (2) I have updated the "papers" section with new links. 


March 11, 2018:

There is a new MATLAB example added to the MATLAB section. It shows how to make yield curve projections that are guaranteed to pass through pre-specified future yield curve fix-points. The example also shows to the dynamic Nelson-Siegel model can be estimated using OLS  as well as with MATLAB's state-space toolbox. 


February 2018: 

I've  made a minor  update by adding a papers section, where I've put a recent paper and links to published  and other working papers - please see the "Papers" tab in the menu section.



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All materials on this website are provided "as is" and no warranty is given for the correct functioning of e.g. computer codes. Nothing on this website should be seen as indicating investment advice of any kind. MATLAB code and teaching materials can be downloaded and used free of charge as long as re-used materials include proper quoting of the source (i.e. me). Support is not guaranteed (but please do email me if you find bugs or have questions).


Ken Nyholm (c)  -  Updated August 2019