I am Bayes Fellow in Finance at Bayes Business School, University of London and obtained a PhD from the same institution. My research focuses on theoretical and applied econometrics, particularly high-dimensional factor models, forecasting, and high-frequency econometrics. I have worked extensively with large datasets, dimensionality reduction methods, linear and non-linear filtering techniques, as well as various other time-series methods.
larsspreng / factor-selection Goto Github PK
View Code? Open in Web Editor NEWPython code to compute optimal number of factors for large datasets