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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
Introduction to financial econometrics
Chapter1_Describing_Financial_Series.pdfChapter 1: Describing Financial Series
Chapter 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
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
Chapter 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
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
Chapter 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
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.pdfPage updated
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