Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Save to My Library
Look up keyword or section
Like this
3Activity

Table Of Contents

1.1 Random Variables and Distributions
1.2 Moments
1.3 Distributions Commonly Used in Tests
1.4 Normal Distribution of the Sample Mean as an Approximation
A Statistical Tables
2 Least Squares Estimation
2.1 Least Squares
2.2 Hypothesis Testing
2.3 Heteroskedasticity
2.4 Autocorrelation
A A Primer in Matrix Algebra
3 Index Models
3.1 The Inputs to a MV Analysis
3.2 Single-Index Models
3.3 Estimating Beta
3.4 Multi-Index Models
3.5 Principal Component Analysis
3.6 Estimating Expected Returns
3.7 Estimation on Subsamples
3.8 Robust Estimation
4 Testing CAPM and Multifactor Models
4.1 Market Model
4.2 Several Factors
4.3 Fama-MacBeth
5 Time Series Analysis
5.1 Descriptive Statistics
5.2 White Noise
5.3 Autoregression (AR)
5.4 Moving Average (MA)
5.5 ARMA(p,q)
5.6 VAR(p)
5.7 Non-stationary Processes
6 Predicting Asset Returns
6.1 Asset Prices, Random Walks, and the Efficient Market Hypothe-
6.2 Autocorrelations
6.3 Other Predictors and Methods
6.4 Security Analysts
6.5 Technical Analysis
6.6 Spurious Regressions and In-Sample Overfit
6.7 Empirical U.S. Evidence on Stock Return Predictability
7 Maximum Likelihood Estimation
7.1 Maximum Likelihood
7.2 Key Properties of MLE
7.3 Three Test Principles
7.4 QMLE
8 ARCH and GARCH
8.1 Heteroskedasticity
8.2 ARCH Models
8.3 GARCH Models
8.4 Non-Linear Extensions
8.5 (G)ARCH-M
8.6 Multivariate (G)ARCH
9 Risk Measures
9.1 Symmetric Dispersion Measures
9.2 Downside Risk
9.3 Empirical Return Distributions
10 Return Distributions (Univariate)
10.1 Estimating and Testing Distributions
10.2 Tail Distribution
11 Return Distributions (Multivariate)
11.1 Recap of Univariate Distributions
11.2 Exceedance Correlations
11.3 Beyond (Linear) Correlations
11.4 Copulas
11.5 Joint Tail Distribution
12 Option Pricing and Estimation of Continuous Time
12.1 The Black-Scholes Model
12.2 Estimation of the Volatility of a Random Walk Process
13 Event Studies
13.1 Basic Structure of Event Studies
13.2 Models of Normal Returns
13.3 Testing the Abnormal Return
13.4 Quantitative Events
14 Kernel Density Estimation and Regression
14.1 Non-Parametric Regression
14.2 Examples of Non-Parametric Estimation
0 of .
Results for:
No results containing your search query
P. 1
Lecture Notes in Financial Econometrics

Lecture Notes in Financial Econometrics

Ratings: (0)|Views: 1,053|Likes:
Published by André Camel

More info:

Published by: André Camel on Nov 04, 2012
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

05/30/2014

pdf

text

original

You're Reading a Free Preview
Pages 6 to 57 are not shown in this preview.
You're Reading a Free Preview
Pages 63 to 135 are not shown in this preview.
You're Reading a Free Preview
Pages 141 to 185 are not shown in this preview.
You're Reading a Free Preview
Pages 191 to 239 are not shown in this preview.
You're Reading a Free Preview
Pages 245 to 267 are not shown in this preview.

Activity (3)

You've already reviewed this. Edit your review.
1 thousand reads
1 hundred reads
Jasper Onyango added this note
great work

You're Reading a Free Preview

Download
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->