Generating tables and figures for paper Spectral Backtests Unbounded and Folded.
Numbering of the filenames aligns to the initial submission of our paper to the Journal of Financial Econometrics in November 2024.
- All scripts assume the working directory is the project root folder, not the R subfolder.
- Results are written to folder output.
- Table 3 summarizes theoretical properties of TLSF kernels so needs no replication.
- The Berkowitz column of Table 4 is generated separately in
table4_berkowitz.R. - Tables 5, 6 and 7 are generated by script
tables_section4.R. Set variablemakeTableto control which table is generated. - Scripts simSetup.R, DefineFmodels.R, DefineKernels.R, and DefineVtransforms.R contain code that is shared across the main scripts, in part to ensure consistency.
- Package dependencies include
spectralBacktest,simsalapar,future,parallelly,furrr,purrr,dplyr,tidyr,tibble,stringi,forcats,skewt,moments,gt,ggplot2,viridis,RColorBrewer,patchwork,latex2exp,grDevices.