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.