29
Mar 20

FN3142 Chapter 12. Forecast comparison and combining




FN3142 Chapter 12. Forecast comparison and combining

Like most universities, we switched to online teaching because of COVID-19. This is what I prepared for my Quantitative Finance course and want to make available for everybody. The lecture is divided in three parts. Download the pdf and watch the corresponding video.

Diebold-Mariano test

Diebold-Mariano test

Chapter 12. Part 1.mp4

Chapter 12. Forecast comparison and combination. Part 1.pdf

Chapter 12. Part 2.mp4

Chapter 12. Forecast comparison and combination. Part 2.pdf

Chapter 12. Part 3.mp4

Chapter 12. Part 3. Forecast encompassing and combining

See another post on Newey-West estimator

 

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