Notes: these teaching resources correspond to the course "Econometrics", that I taught in 2019 in the Master Finance (voie recherche) of the University of Orléans. This lecture is exclusively devoted to an Introduction to Financial Econometrics.
Introduction to financial econometrics
Chapter1_Describing_Financial_Series.pdfChapter 1: Describing Financial Series
Section 1: Introduction
Section 2: Financial Econometrics
Section 3: Financial Data
Section 4: Statistical Properties of Financial Data
Section 5: Stylized Facts
Chapter 2: Multiple Linear Regression Model
Section 1: Introduction
Section 2: The multiple linear regression model
Section 3: The ordinary least squares estimator
Section 4: Statistical properties of the OLS estimator
Chapter2_Linear_Model.pdfChapter3_Tests.pdfChapter 3: Overall fitting, significance, and misspecification tests
Section 1: Introduction
Section 2: Overall adjustment
Section 3: Statistical hypothesis testing
Section 4: Individual and global significance tests
Section 5: Misspecification tests
Chapter 4: Applications
Application 1: Performance evaluation and ranking
Application 2: Factor models
Application 3: Portfolio management
Application 4: Predictive regressions
Chapter4_Applications.pdfChapter5_Time_Series_Models.pdfChapter 5: Introduction to Time Series Models
Section 1: Introduction
Section 2: Stationarity
Section 3: Wold decomposition and prediction
Section 4: The Box-Jenkins modeling approach
Section 5: Univariate time series models
Chapter 6: Introduction to GARCH Models
Section 1: Introduction
Section 2: ARCH models
Section 3: GARCH models
Section 4: Extensions of GARCH models
Chapter6_GARCH.pdf