Advanced Financial Econometrics - Trinity Term 2020
Course Website
You can find the course website here.
Pre-recorded Lectures
The prerecorded lectures are available on YouTube.
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
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.