It contains MATLAB codes that we created over many years. A subset of these codes have been used for the Springer book Financial Modeling Under Non-Gaussian Distributions, ISBN: 1-84628-419-8, written jointly with Ser-Huang Poon.
You may use these codes as you wish. Please, do not hold us responsible for any mistakes in the codes. If you find mistakes, please, send us a message either to Eric.Jondeau AT unil.ch or to Michael.Rockinger AT unil.ch. Replace AT with @.
We articulate the codes along several dimensions. Utility codes are short programs that made our life easier at one stage or another. Then, there are codes related to asset allocation, to option pricing (with an emphasis on extracting information out of options) and to the analysis of time series (estimation of all sorts of GARCH models).
Note that some codes may need some other codes, that can be found in this site, in order to run properly.
Further links that may be useful are to LeSage's econometrics toolbox. Again, please, do not hold us responsible for any problems that may arise out of using their toolboxes.
This webpage has been set up thanks to the « Fondation du Cinquantenaire » to which the authors express their gratitude.
The web site and the codes were updated by Professor Michael Rockinger, january 2009.