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    • Historical Archive
      • Special Topics in Econometrics - Lecture 1
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      • Special Topics in Econometrics - Lecture 4
      • Special Topics in Econometrics - Lecture 5
      • Special Topics in Econometrics - Lecture 6
      • Special Topics in Econometrics - Lecture 7
      • Special Topics in Econometrics - Lecture 8
      • Dynamic Models and Their Inter-Relationships - Part 1
      • Dynamic Models and Their Inter-Relationships - Part 2
      • Forecast Comparisons - Part 1
      • Some Theoretical Examples: Identification and Estimation - Part 1
      • Some Theoretical Examples: Identification and Estimation - Part 2
      • Empirical Examples - Part 1
      • Finite Sample, Theory and Econometrics
      • The Use of Numerical Integration of Characteristics Function - Lecture 1
      • The Use of Numerical Integration of Characteristics Function - Lecture 2
      • The Use of Numerical Integration of Characteristics Function - Lecture 3
      • The Use of Numerical Integration of Characteristics Function - Lecture 4
      • The Use of Numerical Integration of Characteristics Function - Lecture 5
      • The Use of Numerical Integration of Characteristics Function - Lecture 6
      • The Use of Numerical Integration of Characteristics Function - Lecture 7
      • The Use of Numerical Integration of Characteristics Function - Lecture 8
      • Econometrics Lecture - Part 3a (incomplete)
      • Econometrics Lecture - Part 5b (incomplete)
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Data and Code

Resources
  • Historical Archive
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  • Data and Code
  • Stata Resources
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  • Resources
  • Data and Code
  • Data file(s):
    • Description of data and code (pdf, 92kb)
    • Data (Excel, 17kb)
    • Matlab code (zip, 13kb)

    Change Detection and the Casual Impact of the Yield Curve

    Stan Hurn, Peter C.B Phillips and Shuping Shi

  • Data file(s):
    • Online appendix (pdf, 133kb)
    • U.S. based data in Matlab format
    • Non-U.S. based data in Matlab format

    Volatility Transmission in Global Financial Markets

    A.E. Clements, A.S. Hurn and V.V. Volkovi

  • Data file(s):
    • Code

    Testing the Profitability of Moving-Average Rules as a Portfolio Selection Strategy

    Vladimir Pavlov and Stan Hurn (Pacific Basin Finance Journal)

  • Data file(s):
    • ACH files and data
    • Electricity code (zip, 4962kb)

    Forecasting Spikes in Electricity Price

    T M Christensen, A S Hurn and K A Lindsay

  • Data file(s):
    • Matlab (zip, 11kb)
    • GAUSS (txt, 31kb)
    • Instructions (pdf, 46kb)
    • BBQ for Excel Program

    Business Cycle Dating Programs (BBQ)

    James Engel

    Excel macro worksheet and instructions to implement the GAUSS and MATLAB BBQ programs by James Engel. The Excel worksheet was written by Sam Ouliaris of the IMF Institute.

  • Data file(s):
    • CKLS estimation (zip, 20kb)
    • Judge and Rosenbrock test functions (zip, 3kb)

    The Devil is in the Detail: Hints for Practical Optimisation

    T M Christensen, A S Hurn and K A Lindsay

  • Data file(s):
    • Download paper (zip, 61kb)
    • Matlab (zip, 3kb)

    Momentum in Australian Stock Returns: An Update

    A.S. Hurn and V. Pavlov

  • Data file(s):
    • OU Experiments (zip,9.5mb)
    • CIR Experiments (zip,9.39mb)
    • CKLS Application (zip, 52kb)
    • Simulation Results (pdf, 41kb)

    Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations

    A.S. Hurn, J. Jeisman and K.A. Lindsay

    Journal of Financial Econometrics. Link to paper at Oxford Journals.

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