Financial Econometrics

Syllabus

Syllabus

Lecture Notes

1. Introduction
   • Slides
2. Mathematical Foundations: Part I
3. Mathematical Foundations: Part II
4. The Predictability of Asset Returns: Part I
   • Slides
   • Variance Ratio Test Code
   • Bootstrap Code
5. The Predictability of Asset Returns: Part II
   • Tests for Uncorrelated Increments
6. Linear Time Series Analysis: Part I
7. Linear Time Series Analysis: Part II
   • ARMA Code
8. The Capital Asset Pricing Model
9. Factor Models
10. Multivariate Time Series Analysis
11. Cointegration and the Error Correction Models
12. Time-Varying Volatility

Bibliography