(more to come...)

Note that this code may run a bit slow because it calculates spillovers for both Cholesky and Generalised FEVDs.

- Code to perform spillover analysis following the Diebold-Yilmaz approach:

Since these codes were written using a previous version of Matlab, version 2008 it is possible that some of the functions nolonger runs. Please send me an email if you encounter problems.

- Some code that can be used to fit the Smith-Wilson yield curve mode:

I implemented the Smith-Wilson model while I was working for EIOPA. However, please note that the code made available here is not identical to that currently used by EIOPA to produce risk free discount curves.

- A short summary on how to fit a yield curve to bond data using MATLAB's Financial Instruments Toolbox:

- Comparing Orthogonalised and Generalised Impulse Response Functions:

- Yield curve projections that are guaranteed to pass through future pre-specified yield curve fix-points (and the dynamic Nelson-Siegel model estimated with OLS and MATLAB's state-space toolbox):


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Ken Nyholm (c) - Updated March 2018