> Programming Codes
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> For Replication
- Rapach et al. (2016) Short Interest and Aggregate Stock Returns
- Neely et al. (2014) Forecasting the Equity Risk Premium: The Role of Technical Indicators
- Rapach & Zhou (2013) Forecasting Stock Returns
- DeMiguel et al. (2009) Optimal Versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?
- Goyal and Welch (2008) A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
- Rossi (2006) Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
> Research Codes
- Size, Book-to-Market, and Momentum Benchmarks (DGTW, 1997, JF)
- Institutional Ownership Using Thomson Reuters 13F Database
- FRED-MD: Factor-Based Imputation for Missing Data
- Risk Information Measure for Key Development Events
- Official complete National Best Bid and Offer (NBBO) Tick-by-Tick
- Post-Earnings Announcement Drift
- Noise-Robust Intraday Jump Test (Christensen et al., 2025, JFE)
- WRDS Financial Ratios in R
> Statistical Software Packages
sdim: Supervised Dimension Reduction for Forecasting
R Package, version 0.1.0 · 2026
forecastdom: (Un)Conditional Forecast Dominance
R Package, version 0.1.0 · 2026
> Databases
- Big Data Monthly Predictors (up to 2026)
> Miscellaneous
- qkit: A Set of Personal Quarto Templates with RStudio Integration
- uomthesis: Thesis Template for the University of Manchester