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Financial Econometrics - Econ 818
Spring 2019

Classes and Office hours:

Week

 

 Topic and references
 Lab with MATLAB

 

  Jan 3rd

Class cancelled!

1

2
3

Jan. 8,10

Jan. 15,17

Jan. 22,24

[1] Linear regression model and beyond:
ref.: Chap 3 to 5 in Brooks; any grad. econometrics textbook (Greene, Hayashi,...)
1. my notes on CLRM;
2. CAPM notes & Chapter 14.10 in Brooks;
3. Slides on violation of the assumptions of the Linear Model;
4. my notes on model selection and specification checking.
5. my notes on bootstrap methods.
6. my notes on CCAPM and intro to GMM.
 		Lab1: CAPM
Lab2: Practice with loops and functions
Lab3: CCAPM (1/2)
 4
 5
 6		   Jan. 29,31
  Feb. 5,7
  Feb. 12,14		 Jan. 31th: term project proposal due
[2] Univariate Time Series:
ref.: Chap 6 & 9 in Brooks; any grad. econometrics textbook (Greene, Hayashi,...)
1. my notes on ARMA models
2. my notes on univariate volatility models (ARCH, GARCH, EGARCH...)
 		Lab4: CCAPM (2/2)
Feb. 7th: Midterm #1 - no lab!
Lab5: univariate time series model (1/2)

 

Feb. 19,21

Spring break (no classes)

7

Feb. 26,28

[3] Multivariate Time Series:
ref.: Chap 7 in Brooks
1. my notes on VAR models
2. Application

8

Mar. 5,7

9

Mar. 12,14


10

Mar. 19,21

 March 21st: Midterm #2

11

Mar. 26,28

12

Apr. 2,4

 TERM PROJECTS in-class PRESENTATION