Economics 424: Introduction to Computational Finance and Financial Econometrics |
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Lecture Notes and Class SlidesFall 2007 Note: These notes and accompanying spreadsheets are preliminary and incomplete and they are not guaranteed to be free of errors. Some of the spreadsheets require the StatPlus Add-in. Some of the S-PLUS script files require the S+FinMetrics module, and some require the Resample library (which can be downloaded from the Insightful research library). Check the revision dates for updates. Please let me know if you find typos or other errors. Comments and suggestions are welcome. Return Calculations
Probability Review
Time Series Concepts
Descriptive Statistics
Constant Expected Return Model
Bootstrapping in CER Model
Hypothesis Testing in CER Model
Introduction to Portfolio Theory
Portfolio Theory with Matrix Algebra
Single Index Model and Linear Regression
Rolling Analysis of Single Index Model
Capital Asset Pricing Model
Multi Index Models
Measuring Portfolio Performance
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