Computer Programs



Kenwin Maung and Norman R. Swanson, 2025, A Survey of Models and Methods for Forecasting Financial Market Returns and Risk"

·  Empirical Code and readme file (no raw data is included)

Valentina Corradi, Jainan Sin and Norman R. Swanson, 2023, Robust Forecast Superiority Testing with an Application to Assessing Pools of Expert Forecasters"

·  Empirical Code, data and readme file

Bruce Mizrach, Norman R. Swanson and Bo Yu, 2018, Disentangling the Effects of News, Small Jumps, and Large Jumps on Stock Return Predictability"

·  Code - contact for data files

·  Readme file

Norman R. Swanson, and Weiqi Xiong, 2018, ``Predicting Interest Rates Using Shrinkage Methods,Real-Time Diffusion Indexes, and Model Combinations"

·  Code and Readme File - contact for data files

Mingmian Cheng, Norman R. Swanson, and Xiye Yang, 2018, ``Latent Common Return Volatility Factors: Capturing Elusive Predictive Accuracy Gains When Forecasting Volatility"

·  All Code and Readme File

Mingmian Cheng and Norman R. Swanson, 2018, ``A Comparison of Fixed and Long Time Span Jump Tests: Are We Finding Too Many Jumps?"

·  All Code and Readme File

Sainan Jin, Valentina Corradi, and Norman R. Swanson, 2018, ``Robust Forecast Superiority Testing with an Application to Assessing Pools of Expert Forecasters"

·  Monte Carlo Code and Readme File

Jessica Schlossberg and Norman R. Swanson, 2018, ``Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession"

·  All Code and Readme File (except for 5 second frequency dataset)

Corradi, Valentina, Mervyn J. Silvapulle and Norman R. Swanson, 2018, ``Testing for Jumps and Jump Intensity Path Dependence"

·  Monte Carlo Code for Jump and Self Excitement Tests

Supplemental Monte Carlo Results, ``Testing for Jumps and Jump Intensity Path Dependence"

·  Monte Carlo readme pdf file, and excel files

Swanson, Norman R. and Weiqi Xiong, 2017, ``Big Data Analytics In Economics: What Have We Learned So Far, And Where Should We Go From Here?''

·  Empirical Code for DNS and PCA Analysis

Kim, Hyun Hak and Norman R. Swanson, 2016, ``Methods for Pastcasting, Nowcasting and Forecasting Using Factor-MIDAS"

·  Zip File Containing all code for the paper.

Kim, Hyun Hak and Norman R. Swanson, 2016, ``Mining Big Data Using Parsimonious Factor, Machine Learning, Variable Selection, and Shrinkage Methods"

·  Zip File Containing all code for the paper.

Corradi, Valentina and Norman R. Swanson, 2014, ``Testing for Structural Stability of Factor Augmented Forecasting Models"

·  Zip file containing Readme and programs.

Kim, Hyun Hak and and Norman R. Swanson, 2014, ``Forecasting Financial and Macroeconomic Variables Using Data Reduction Metohds: New Empirical Evidence"

·  Zip File Containing code for the paper.

·  One additional program that was missing from zip file.

Diep and and Norman R. Swanson, 2013, ``Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction"

·  SAS file for filtering out 5 minute data (or whatever frequency). This is based on the last tick method.

·  Gauss code for in-sample regression and out-of-sample regressions, and DM tests, applied to time series of variations and power variations exported from SAS (One can re-arrange the explanatory variables depending the way SAS time series are organized and exported.).

COMING SOON Duong, Diep and and Norman R. Swanson, 2011, ``Volatility in Discrete and Contiinuous Time Models: A Survey with New Evidence on Large and Small Jumps"

·  readme

·  Programs

Corradi, Valentina, Walter Distaso and and Norman R. Swanson, 2011, ``Predictive Inference for Integrated Volatility" (Monte Carlo programs for no-noise or jumps, noise, and jumps cases)

·  Monte Carlo Program I

·  Monte Carlo Program II

·  Monte Carlo Program III

Corradi, Valentina and Norman R. Swanson, 2009, ``Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models" (code for block length=5)

·  readme

·  main program for calculating test, etc.

·  main program for calculating test, etc. - doc version

Corradi, Valentina, Andres Fernandez and Norman R. Swanson, 2008, ``Information in the Revision Process of Real-Time Data" (final code - both tests plus examples, etc.)

·  Zip file with readme, data, and all programs except the "two test" program that is in the next set of files and calculates both tests for a generic real-time dataset rather than just the single test used in the paper-- very user friendly!

·  Zip file with readme, data, and all programs -- two tests

Armah, Nii Ayi and Norman R. Swanson, 2008, ``Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments"

·  Readme

·  main program 1

·  main program 2

·  main program 1 procedures

·  main program 2 procedures

·  data

·  Tcodes (data transformation selections)

Corradi, Valentina and Norman R. Swanson, 2006, "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes"

·  Monte Carlo Program I

·  Monte Carlo Program II

·  Empirical Program I

·  Empirical Program II

Bhardwaj, Geetesh, Valentina Corradi and Norman R. Swanson, 2006, "A Simulation Based Specification Test for Diffusion Processes"

·  Readme

·  Empirical Program I

·  Empirical Program II

·  Monte Carlo Program

Korenok, Oleg and Norman R. Swanson, 2006, ``International Evidence on the Efficacy of New-Keynesian Models of Inflation Persistenc"

·  Readme

·  CS tests

·  MLE

·  ResidStats

·  TheoreticalACF

·  Support Programs

Korenok, Oleg and Norman R. Swanson, 2005, ``How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models"

·  distributional accuracy test program (compares distributions of y(t) and inflation(t))

Bhardwaj, Geetesh and Norman R. Swanson, 2004, "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series"

·  Readme

·  Zipped code

Corradi, Valentina and Norman R. Swanson, 2004, "Predictive Density and Conditional Confidence Interval Accuracy Tests"

·  bootstrap and test statistics program

Corradi, Valentina and Norman R. Swanson, 2003, "Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data"

·  test program 1

·  test program 2

·  test program 3

·  test program 4