Forecasting Financial Time Series
SeriesEconometrics Lecture Series
SpeakerAllan Timmermann (University of California San Diego)
June 08, 2016 until June 09, 2016
Recent years have seen extensive developments in the way information (sometimes from large data sets) is being used to generate economic forecasts and how such forecasts are evaluated. The lectures will provide a survey of recent methods for forecasting financial and economic time series, covering topics such as model selection, forecast combination, forecasting under model instability, forecasting and data mining, forecast evaluation techniques and methods for comparing forecasting performance across different models. Throughout the lectures, the techniques will be illustrated through applications to forecasting stock market returns and other economic variables and to evaluating fund manager performance.
Allan Timmermann is a professor of finance at the University of California San Diego. Since 2007 professor Timmermann holds the Atkinson/Epstein Endowed Chair at the UCSD’s Rady School of Management.