Matlab Finance Code

GARCH,EGARCH,NAGARCH,GJR models and implicit VIX

Estimate GARCH/EGARCH/NAGARCH/GJR parameters from a time series of prices , rates and VIX  value.

James LeSage’s Econometrics Toolbox for Matlab

Most of my functions use code contained in the econometrics toolbox for Matlab by James P. LeSage. This toolbox contains many useful programs for econometricians. It must be installed before my code will work.

Econometrics Toolbox: by James P. LeSage

Support from National Science Foundation BCS-0136229 and generous contributors of code

Bayesian Econometrics

Bayesian Econometrics introduces the reader to the use of Bayesian methods in the field of econometrics at the advanced undergraduate or graduate level. The book is self-contained and does not require previous training in econometrics. The focus is on models used by applied economists and the computational techniques necessary to implement Bayesian methods when doing empirical work.

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