Economics 512: Financial Econometrics

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Homework Assignments

Spring 2010

• The lab assignments make use of S-PLUS with the add-in module S+FinMetrics, R or Eviews.  R can be downloaded from www.r-project.org. Eviews is available on the graduate student terminal server.

Last updated: June 7, 2010

Assignment

Due Date

Programs/Data

Solutions

Wednesday, April 14.

• msft.xls

• sp500.xls

• returnPredictability.ssc

• returnProperties.ssc

• univariateGarch.ssc

solutions

HW 2 Part I

Monday, May 3.

• msft.xls

• sp500.xls

• univariateGarch.ssc

• multivariateGarch.ssc