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FIN 928 The Econometrics Modeling and Applications |
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Syllabus | Financial Econometrics: Modeling and Applications | ||
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Lecture 1 | Linear Regressions | ||
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Lecture 2 | Linear Restrictions | ||
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Lecture 3 | Joint Hypothesis Testing | ||
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Lecture 4A | Normality and Multicollinearity | ||
| Lecture 4B | Errors in Variables and GMM | |||
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Lecture 5 | Heteroskedasticity | ||
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Lecture 6 | Autocorrelated Error Structure | ||
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Lecture 7 | Seemingly Unrelated Regression (SUR) Estimation | ||
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Lecture 8 | Dynamics and Expectations | ||
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Lecture 9A | Advanced Time Series Models | ||
| Lecture 9B | Application of Transfer Function | |||
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Lecture 10 | Cointegration and ECM | ||
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Lecture 11 | Nonlinear Regression | ||
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Lecture 12 | Regime-Switching Models | ||
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Macro1 |
Data Set of G7 Macro including exchange rates, treasury bill rates, government bond yields, stock price indexes, CPI, money supply, and industrial production indexes from Jan. 1980 to Oct. 2000. (1/11/01 updated) |
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Macro2 | Data Set
of Macro for Australia, China, Korea, Singapore,
Argentina, Brazil, and Mexico from
Jan. 1980 to Oct. 2000. (1/11/01 updated) |
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Note:
(1) To download handout and data files, please right-click and choose "Save Target As..." (2) PDF files can only be viewed if you have installed Adobe Acrobat Reader on your system |
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