Data and Code

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Matlab code and data to accompany

T M Christensen, A S Hurn and K A Lindsay "The Devil is in the Detail: Hints for Practical Optimisation"

CKLS estimation, Judge and Rosenbrock test functions.

Matlab code and data to accompany

"Momentum in Australian Stock Returns: An Update" by A.S. Hurn and V. Pavlov.

C code, data and additional simulation results to accompany

"Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations" by A.S. Hurn, J. Jeisman and K.A. Lindsay. Journal of Financial Econometrics. Link to paper at Oxford Journals.

OU Experiments CIR Experiments CKLS Application Simulation Results

James Engel's Business Cycle Dating Programs (BBQ). Matlab and GAUSS versions.