Problem sets
Problems
Every problem in the course. Solutions sit behind a deliberate step on each problem page.
to difficulty Check numeric answers checked on the page
17 shown
M13 Forecasting and market prediction 17
- P1 Noise predictors have negative OOS ★★
- P2 (AR(1) for a futures basis) ★ Check
- P3 (AR(2): stationarity and Yule–Walker) ★★ Check
- P4 (MA(1) and the bid-ask bounce) ★★ Check
- P5 Sanity-checking a claimed ★★ Check
- P6 Exact Sharpe of a linear timer with drift ★★★ Check
- P7 Stambaugh bias on an Indian valuation predictor ★★ Check
- P8 GARCH term structure after a shock ★★ Check
- P9 GARCH fourth moment ★★★ Check
- P10 Two steps of the Hamilton filter by hand ★★ Check
- P11 Ergodic probabilities and durations ★ Check
- P12 Purged CV arithmetic ★★ Check
- P13 Multi-category Brier ★★ Check
- P14 Reading a reliability table ★★ Check
- P15 Case analysis: a 100% recession call ★★★ Check
- P16 Odds-form updating for an RBI decision ★★ Check
- P17 Meta-labelling arithmetic ★★ Check