https://github.com/bashtage/afe2020
Advanced Financial Econometrics - Trinity Term 2020
https://github.com/bashtage/afe2020
Last synced: about 1 year ago
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Advanced Financial Econometrics - Trinity Term 2020
- Host: GitHub
- URL: https://github.com/bashtage/afe2020
- Owner: bashtage
- Created: 2020-05-06T21:24:23.000Z (about 6 years ago)
- Default Branch: main
- Last Pushed: 2021-03-04T08:12:53.000Z (over 5 years ago)
- Last Synced: 2025-03-28T18:21:18.663Z (about 1 year ago)
- Language: Jupyter Notebook
- Size: 80.8 MB
- Stars: 28
- Watchers: 4
- Forks: 20
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
# Advanced Financial Econometrics - Trinity Term 2020
## Course Website
You can find the [course website here](https://www.kevinsheppard.com/teaching/mfe/advanced-financial-econometrics-forecasting/).
## Pre-recorded Lectures
The prerecorded lectures are [available on YouTube](https://www.youtube.com/playlist?list=PLVR_rJLcetzmES8tqjgqlQw1Vx2IKMVot).
## Notebooks
The notebook illustrate the use of the forecasting methods detailed in the course.
## Data
The data files `assignment-data-train` contain the data for the assignment.
You can load the data in the HDF5 file using
```python
import pandas as pd
data = pd.read_hdf("assignment-data-train.h5", "assignment_data")
```
You can load the data in MATLAB using `open("assignment-data-train.mat")`.
The `monthly-data` files contain the the full set of monthly series from the M4 dataset.