ECON 4858

Financial Econometrics

 

Fall 2013: syllabus

Notes:

set 1,

set 2,

set 3 - This is a set of notes on AR processes and least squares estimations. We did not cover sections 4.5 or 4.6 on MA and ARMA models.

set 4 - These are handwritten notes on ARCH and GARCH

set 5 - These are handwritten notes on Portfolio Theory


Homework sets: set 1, set 2, set 3, set 4, set 5


Answers:

homework sets: set 1, set 2, set 3, set 4

Midterm: answers


Announcements: There will be NO CLASS on November 14.


Data sets: wheat returns, sandphist.mat, AAPL.mat, sandp.mat, capm.txt

Matlab codes: returns.m, wheatret_1.m, binomial.m, normgen.m, lognormgen.m, random_walk_s_and_p.m, random_walk_apple.m, ar_1_sandp.m, ar_2_sandp.m, garch_11.m, garch_11_gau.m, garch_sandp.m, port.m, capm_port.m