I need to understand and to replicate (at least partly) two financial papers but I do not have a sufficiently strong econometric background to do it.. I need someone to help me in implementing in Matlab the estimation procedure. The required skills are: - Risk neutral pricing - Markov-switching VAR - Hamilton filter - Kalman Filter . MLE The required tasks will be: - Help me to find the econometric theory needed and provide me with some practical examples - Help me in writing the Matlab code The papers are: - (Monfort, A., and Renne, J.P. (2011) : "Credit and Liquidity Risks in Euro Area Sovereign Yield Curves", Working Paper, Banque de France n± 352 -Jardet, C., Monfort, A., and Pegoraro F. (2011) : "No-arbitrage Near-Cointegrated VAR(p) Term Structure Model Term Premia and GDP Growth", Working paper CREST 2011-03.
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