Slides: Lecture 1, Lecture 2, Lecture 3, Lecture 4, Lecture 5, Lecture 6, Lecture 7, Lecture 8, Lecture 9, Lecture 10, Lecture 11, Lecture 12, Lecture 13, Lecture 14,
Matlab codes: returns.m, SP500_returns.m, qq_plots.m, MLESP500_KS.m, MLE_SP500_student_t.m, ar_3_sandp.m, garch_11_gau.m, arma_garch_gaussian.m, arma_garch_apple.m, port.m, portine.m, ar1_apple_homework3.m, ar2_apple_homework3_2.m, garch_student1.m.
Data sets: SP500.mat, AAPL.mat, sandp.mat.
Homework sets:
Homework 1 - part 1 (with answers), Homework 1 - part 2 (with answers), Homework 2 - part 1 (with answers), Homework 2 - part 2 (with answers), Homework 3, Homework 3 (answers), Homework 4, Homework 4 (answers).
Midterms:
Midterm 1(with answers -except question 2) , Midterm 2(with answers)