Place holder for material from the Trinity Term 2014 Advanced Econometrics Elective
These downloads contain complete slide sets from the course split into two parts. The first covers material related to data snooping bias and multiple testing in the context of technical trading. The second covers forecasting methodologies that are suitable with large number of predictors.
Brown & Jennings (1989)
Brock, Lakonishok & LeBaron (1992)
Blume, Easley & O’Hara (1994)
Sullivan, Timmermann & White (1999)
Lo, Mamaysky & Wang (2000)
Neely, Rapach, Tu & Zhou (2010)
Han, Yang & Zhou (2010)
Bajgrowicz & Scaillet (2012)
Week 8 (Presentation)
Week 8 (Handout)
Week 8 (Markup)
Reduced Rank Regression Demonstration Code - Shows how to compute reduced rank regression and the spectral version of regularized reduced rank regression in simulated data.