TAILIEUCHUNG - Lecture notes in Financial Econometrics

The main contents of the lecture consist of 20 chapter: Review of statistics, least squares estimation, regression diagnostics, asymptotic results on OLS, index models, testing capm and multifactor models, time series analysis, predicting asset returns, maximum likelihood estimation, ARCH and GARCH,. | Lecture Notes in Financial Econometrics (MSc course) Paul Söderlind1 22 May 2016 1 University of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: . Document name: . Contents 1 2 3 4 Review of Statistics Random Variables and Distributions . . . Moments . . . . . . . . . . . . . . . . . Distributions Commonly Used in Tests . . Normal Distribution of the Sample Mean Appendix: Statistical Tables . . . . . . . Appendix: Data Sources . . . . . . . . . . . . . . . 6 6 13 16 19 21 21 . . . . . . 24 24 44 54 57 61 65 . . . . . . . 67 67 68 72 73 74 74 77 Asymptotic Results on OLS Motivation of Asymptotics . . . . . . . . . . . . . . . . . . . . . . . . . 83 83 Least Squares Estimation Least Squares . . . . . . . . . . . . . . Hypothesis Testing . . . . . . . . . . . Heteroskedasticity . . . . . . . . . . . . Autocorrelation . . . . . . . . . . . . . Appendix: A Primer in Matrix Algebra . Appendix: Statistical Tables . . . . . . Regression Diagnostics Model Selection I . . . . . . . . Model Selection II . . . . . . . Comparing Non-Nested Models Non-Linear Models . . . . . . . Outliers . . . . . . . . . . . . . Estimation on Subsamples . . . Robust Estimation . . . . . . . .

• Kinh tế học
• Financial Econometrics
• Kinh tế tài chính
• Lecture notes in Financial Econometrics
• Least squares estimation
• Regression diagnostics
• Time series analysis
• Econometrics for Finance
• Introductory Econometrics for Finance
• Financial data
• Financial modelling
• Purpose of econometrics
• Econometric model
• Regression model
• Straight lines
• Statistical foundations
• Classical linear regression model
• Regression analysis
• Multiple linear regression
• Statistical distributions
• Univariate time series modelling
• Stochastic processes
• Multivariate models
• Simultaneous equations models
• Modelling long run relationship
• Stochastic non stationarity
• Modelling volatility
• GARCH models
• Switching models
• Switching behaviour
• Panel data
• Fixed effects models
• Limited dependent variable models
• Linear probability model
• Simulation methods
• Random number generation
• Empirical research project
• Research project
• Advanced modeling techniques
• Selected topics
• Regression applications
• Regression applications in finance
• Stepwise regression
• Autoregressive conditional heteroskedastic models
• Vector autoregressive models
• Robust estimation
• Principal components analysis
• Factor analysis
• business management
• econometrics
• finance
• methodological
• empirical
• project management
• Banking crisis
• Spatial econometrics
• Financial liberalization
• Spatial panel model
• Estimate the parameters
• Introduction to EViews
• Stationarity
• Volatility Models
• Multivariate Time
• Unit Roots Tests
• Autocorrelations