For my Finance Master Thesis I am doing research in macroeconomic variables affecting the yield curve. In order to analyse the influence of these factors I follow the path of academics like Litterman & Scheinkman (1991), Ang & Piazzesi (2003), Stock and Watson (2002), Diebold, Rudebosch and Boraganaruoba (2006) and many others. This means that I start by identifying the common factors of the yield curve like Litterman and Scheinkman proposed. I have gathered zero yield data of The Netherlands from 1999 onwards. If I am correct, I need to model this data into a curve and thereafter determine the key change rate on every spot. Since I need to use matlab and have no idea how to do this I am wondering whether you could help. I have imported the zero yield data into matlab. It is a 3256 x 61 matrix of which the first column consists of numerical dates. So the yields are 3256 x 60. Once I have the key change rates on every spot I need to determine the covariance matrix and execute a PCA analysis if I am correct. But once again, I need help how to execute this in matlab. Hopefully you guys can help or point me to samples so I can learn...
Thanks already!!!
Thanks already!!!
