financial_econometrics_18_19

Financial Econometrics' course material

Syllabus, exam rules and instructions on groups' formation are available below.

FORM GROUPS BEFORE 9 of MARCH

Lecture of 25/02: Presentation of the course, review of the linear model.

Lecture of 26/02: Review of the linear model, consistency.

Lecture of 28/02: Practice with R.

Lecture of 11/03: Review of the linear model, asymptotic normality.

Lecture of 12/03: MA(q) process and autocovariance function.

Lecture of 14/03: Practice with R.

Lecture of 18/03: MA(infty) process and autocovariance function.

Lecture of 19/03: Estimation of AR(1).

Lecture of 21/03: Practice with R.

Lecture of 25/03: Weak stationarity.

Lecture of 26/03: Practice with MATLAB.

Lecture of 28/03: Practice with R.

Lecture of 01/04: CLT for MDS.

Lecture of 02/04: Asymptotics for DGP with linear trend.

Lecture of 08/04: Asymptotics for DGP stable AR(1).

Lecture of 09/04: Asymptotics for DGP with intercept and linear trend.

Lecture of 11/04: Practise with R.

Lecture of 15/04: Asymptotics for DGP stable AR(2) with intercept.

Lecture of 16/04: Asymptotics for DGP stable AR(2) with intercept.

Lecture of 29/04: Test of linear restrictions on beta.

Lecture of 30/04: Test of linear restrictions on beta.

Lecture of 06/05: Stability conditions.

Lecture of 07/05: Stability conditions.

Lecture of 09/05: Practise with MATLAB.

Lecture of 13/05: ML estimation of ARMA.

Lecture of 15/05: Forecasting with ARMA.

Lecture of 16/05: Forecasting with ARMA.

Lecture of 20/05: Forecasting with ARMA.

Lecture of 21/05: Forecasting with ARMA, random walk.

Lecture of 23/05: Forecasting and asymptotics for random walk.