Hello and welcome.
A preliminary draft of a manuscript on "Yield Curve Modelling for Practitioners" has been adeed to the Papers-Section. I have included links to the data and code used in the manuscript such that all empirical examples can be replicated.
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.
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.
My text on Discrete-Time Yield Curve Modelling is published as an Element on Cambridge University Press. DOI: https://doi.org/10.1017/9781108975537
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Ken Nyholm (c) - Updated March 2023