Economics 424: Introduction to Computational Finance and Financial Econometrics

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Last updated: October 17, 2009

Introduction | Short Course | Ruppert Examples | Class Examples | Packages

Introduction

R Short Course

This is a short course on using R put together by Chris Green (PhD student in UW stat dept).

Ruppert Examples

Lei Jin has created R script files to replicate all of the examples in Statistics and Finance: An Introduction by David Ruppert.

Class Examples

The following script files are used to create the examples used in class and presented in the class slides.

Return Calculations

Probability Review

Time Series Concepts

Matrix Algebra

Descriptive Statistics

CER Model

Portfolio Theory

Single Index Model

CAPM

Multi Index (Factor) Models

  • factorModel.r

Packages

The following R packages will be used in class: