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This repository includes the scripts to replicate the results of my paper entitled "A False Discovery Rate Approach to Optimal Volatility Forecasting Model Selection".

Home Page: https://doi.org/10.1016/j.ijforecast.2023.07.003

MATLAB 99.95% M 0.05%
finance false-discovery-rate exchange-traded-funds familywise-error-rate model-confidence-set data-snooping-test econometrics volatility-modeling buckets

fdr_buckets's Introduction

  • 👋 Hi, I’m Arman and this is my personal script repository.
  • 📈 The codes here are from my time doing academic research and does not contain any commerical value.
  • 🔍 You can get a brief intro for each project under "Wiki" tabs.
  • 📫 You can reach me via hassannia[at]outlook[dot]com
  • 📉 Check out WhoSHORTEDWhat.com if you are interested in short trading.

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fdr_buckets's Issues

December 2021 update

The scripts were revisited to make sure all codes run smoothly. List of changes:

  • Also 15-minute, 30-minute, and 65-minute CSV files were added in the folder "Dataset_ETFS"
  • Ability to run the same results for M=26, and 6 as in the revised working paper by setting "freq=15" or 30 or 65
  • The histogramme in step2 is replaced by a box plot for simplicity and better readability in the draft.
  • RSW method kStepM is replaced by kStepM-FDP as mentioned in RSW (2008).

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