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| Name | Last modified | Size | Description |
|---|---|---|---|---|
| Parent Directory | - | ||
| 512Presentations.htm | 2010-03-17 15:12 | 6.5K | |
| 512ca.htm | 2002-04-10 14:49 | 3.8K | |
| 512hw.htm | 2010-06-07 17:20 | 5.6K | |
| 512labs.htm | 2002-07-31 14:33 | 5.7K | |
| 512syllabus.htm | 2010-06-07 17:20 | 21K | |
| 589Presentations.htm | 2011-03-27 11:30 | 6.5K | |
| 589ca.htm | 2011-03-27 11:30 | 3.8K | |
| 589hw.htm | 2013-06-05 11:20 | 5.7K | |
| 589labs.htm | 2011-03-27 11:30 | 5.7K | |
| 589syllabus.htm | 2013-06-13 08:06 | 29K | |
| 589syllabusSpring201..> | 2011-03-27 11:31 | 21K | |
| 2297980.pdf | 2011-05-03 10:12 | 1.9M | |
| Amath546-Econ 589 HW..> | 2012-04-05 15:43 | 18K | |
| Amath 546 HW 1 2013.pdf | 2013-04-02 10:42 | 18K | |
| AndersenBollerslevIE..> | 2012-04-27 09:17 | 497K | |
| Backtesting_VaR_Mode..> | 2012-04-27 09:11 | 399K | |
| CochraneRFS2008.pdf | 2009-05-06 15:06 | 863K | |
| DCCgarchPowerpoint.pdf | 2013-05-13 17:21 | 276K | |
| DingEngleMgarch2001.pdf | 2011-05-09 14:43 | 140K | |
| DoesAnythingBeatGarc..> | 2012-04-19 15:58 | 213K | |
| EVT_Mcneil_Frey_2000..> | 2009-05-06 15:06 | 372K | |
| Econ 512 lab1.pdf | 2002-04-10 14:49 | 119K | |
| EngleDCCJBES.pdf | 2010-06-07 17:20 | 6.9M | |
| GJRJOF1993.pdf | 2011-04-07 09:51 | 489K | |
| Introduction_to_the_..> | 2013-04-26 12:04 | 1.0M | |
| JoyOfCopulasJSOFT.pdf | 2013-05-20 13:12 | 508K | |
| LoMacKinlayRFS1998.pdf | 2010-04-05 14:48 | 1.2M | |
| LongMemory.SSC | 2002-05-03 12:59 | 4.3K | |
| MS-market efficiency..> | 2009-05-26 11:38 | 484K | |
| MarketEfficiencyPowe..> | 2008-04-10 17:20 | 356K | |
| MittnikVarComparison..> | 2011-04-14 09:08 | 750K | |
| MultivariateGarchPow..> | 2010-05-03 14:35 | 802K | |
| PoonGrangerJELsurvey..> | 2013-04-23 10:09 | 7.1M | |
| SSRN-id1737433.pdf | 2011-06-06 11:41 | 458K | |
| SVleverageYuJOE2005.pdf | 2010-06-07 17:20 | 246K | |
| SensitivityAnalysisO..> | 2012-04-05 15:58 | 332K | |
| VaRgarchApplicationP..> | 2010-05-03 14:35 | 192K | |
| VaRsubadd.pdf | 2012-04-02 11:31 | 138K | |
| VolatilityBrownlees.pdf | 2012-06-05 20:22 | 1.0M | |
| WurtzEtAlGarch.pdf | 2011-04-07 09:51 | 1.3M | |
| acertasc.pdf | 2012-04-02 11:35 | 218K | |
| amath546econ589hw3.pdf | 2012-04-26 09:25 | 90K | |
| amath546econ589hw3Sp..> | 2013-04-20 12:56 | 81K | |
| amath546econ589hw4sp..> | 2013-06-05 11:18 | 89K | |
| amath546econ589hw5sp..> | 2013-06-05 11:18 | 80K | |
| amath546econ589hw6sp..> | 2013-06-05 11:18 | 103K | |
| backtestingRiskModel..> | 2013-05-01 15:08 | 201K | |
| backtestingriskmodel..> | 2013-05-01 14:55 | 80K | |
| backtestingriskmodel..> | 2013-05-01 15:11 | 201K | |
| backtestingriskmodel..> | 2012-05-08 09:09 | 67K | |
| berndt.dmp | 2002-05-31 13:34 | 40K | |
| berndtInvest.csv | 2013-06-05 11:14 | 14K | |
| bertsimas et al expe..> | 2012-04-09 08:09 | 497K | |
| bondoptionrisk.pdf | 2013-06-03 12:54 | 82K | |
| ch1.pdf | 2012-03-29 09:38 | 86K | |
| ch2-returns.pdf | 2012-03-29 09:41 | 873K | |
| ch2.pdf | 2012-03-29 09:38 | 667K | |
| ch4-eda.pdf | 2012-03-29 09:41 | 2.7M | |
| ch4.pdf | 2012-03-29 09:45 | 778K | |
| ch5-univariateDistri..> | 2012-03-29 09:41 | 1.7M | |
| ch5.pdf | 2012-03-29 09:38 | 534K | |
| ch6.pdf | 2013-04-26 12:03 | 2.6M | |
| ch7-multivariate.pdf | 2012-03-29 09:41 | 4.7M | |
| ch8-copulas.pdf | 2012-03-29 09:41 | 1.5M | |
| ch8.pdf | 2012-03-29 09:38 | 395K | |
| ch17-factormodels.pdf | 2012-03-29 09:41 | 2.0M | |
| ch18-garch.pdf | 2012-03-29 09:41 | 1.7M | |
| cha19-riskmanagement..> | 2012-03-29 09:41 | 1.2M | |
| clrk_uc.opt | 1997-01-23 17:20 | 5.2K | |
| copulaModelingJSOFT.pdf | 2013-05-20 13:12 | 707K | |
| copulas.pdf | 2013-05-21 16:53 | 147K | |
| copulasPowerpoint.pdf | 2013-05-22 16:11 | 645K | |
| copulasSlides.pdf | 2012-05-15 16:09 | 131K | |
| crealKoopmanLucas201..> | 2013-04-20 13:06 | 524K | |
| crealKoopmanLucas201..> | 2013-04-20 13:06 | 292K | |
| crspd.prn | 1997-01-23 17:20 | 30K | |
| dellaquilla embrecht..> | 2009-05-26 11:38 | 350K | |
| derivativepricing.pdf | 2011-05-10 09:59 | 76K | |
| econ512.htm | 2010-04-27 13:42 | 11K | |
| econ512CopulasPowerP..> | 2010-05-14 13:16 | 694K | |
| econ512HighFreq.ssc | 2002-05-03 12:57 | 4.0K | |
| econ512continuoustim..> | 2010-05-19 15:11 | 91K | |
| econ512copulas.pdf | 2010-05-14 13:16 | 141K | |
| econ512finalexamspri..> | 2010-06-07 17:20 | 95K | |
| econ512garch.SSC | 2002-04-18 12:57 | 855 | |
| econ512hw1spring2010..> | 2010-04-06 14:30 | 70K | |
| econ512hw1spring2011..> | 2011-03-28 14:28 | 70K | |
| econ512hw2PartIsprin..> | 2011-04-14 09:04 | 50K | |
| econ512hw2spring2009..> | 2009-04-15 15:23 | 61K | |
| econ512hw2spring2010..> | 2010-04-23 14:30 | 50K | |
| econ512hw3spring2009..> | 2009-04-20 17:35 | 33K | |
| econ512introHighFreq..> | 2010-05-17 15:05 | 333K | |
| econ512introductionh..> | 2010-05-17 15:05 | 82K | |
| econ512lab2.pdf | 2002-04-24 16:25 | 73K | |
| econ512lab2part2.pdf | 2002-04-28 14:41 | 54K | |
| econ512lab3.pdf | 2002-05-10 12:06 | 73K | |
| econ512lab4.pdf | 2002-05-24 16:12 | 90K | |
| econ512lec1.pdf | 2010-05-03 12:18 | 18K | |
| econ512lec1PowerPoin..> | 2008-04-03 10:45 | 354K | |
| econ512lec2.SSC | 2002-04-04 17:20 | 2.3K | |
| econ512lec2.pdf | 2010-05-03 12:18 | 104K | |
| econ512lec3.pdf | 2010-05-03 12:18 | 86K | |
| econ512lec4.pdf | 2010-05-03 12:18 | 135K | |
| econ512lec5.pdf | 2010-05-03 12:18 | 125K | |
| econ512lec6.pdf | 2010-05-03 12:18 | 124K | |
| econ512lec8.pdf | 2010-05-03 12:18 | 100K | |
| econ512lec9.pdf | 2010-05-03 12:18 | 278K | |
| econ512lec10.pdf | 2010-05-03 12:18 | 77K | |
| econ512realizedVaria..> | 2010-05-24 15:22 | 453K | |
| econ512realizedvaria..> | 2011-05-19 07:10 | 121K | |
| econ512timeSeriesCon..> | 2010-05-03 14:58 | 137K | |
| econ512timeseriescon..> | 2010-05-03 14:58 | 223K | |
| econ512week2.SSC | 2002-04-16 10:21 | 2.7K | |
| econ512week2.pdf | 2002-04-17 17:10 | 111K | |
| econ589.htm | 2013-03-29 16:54 | 8.0K | |
| econ589HW2spring2012..> | 2012-04-09 14:29 | 72K | |
| econ589backtestingRi..> | 2013-05-14 12:49 | 4.6K | |
| econ589copulas.r | 2013-05-22 15:05 | 20K | |
| econ589factorModels.r | 2012-05-22 15:40 | 14K | |
| econ589finalexamspri..> | 2011-06-06 11:43 | 93K | |
| econ589finalexamspri..> | 2013-06-13 08:01 | 89K | |
| econ589hw2spring2013..> | 2013-04-20 12:56 | 84K | |
| econ589hw3spring2011..> | 2011-05-09 15:08 | 105K | |
| econ589multivariateG..> | 2013-05-15 15:17 | 6.4K | |
| econ589returnPropert..> | 2013-04-03 13:04 | 4.8K | |
| econ589riskMeasures.r | 2013-04-23 09:42 | 11K | |
| econ589univariateGar..> | 2013-05-14 12:46 | 10K | |
| econ589univariateGar..> | 2013-05-14 12:46 | 8.6K | |
| empiricalReturns.pdf | 2010-05-03 13:52 | 662K | |
| empiricalReturnsPowe..> | 2011-03-29 09:51 | 1.0M | |
| empiricalReturnsPowe..> | 2013-04-03 14:58 | 774K | |
| estimatefactorModels..> | 2013-06-05 11:18 | 265K | |
| estimatingRealizedVa..> | 2010-06-04 15:30 | 426K | |
| estimatingRiskMeasur..> | 2012-04-17 16:02 | 147K | |
| estimatingfactorMode..> | 2013-06-05 11:14 | 11K | |
| estimatingfundamenta..> | 2013-06-05 15:08 | 102K | |
| estimatingmacrofacto..> | 2013-06-05 11:18 | 73K | |
| estimatingrealizedva..> | 2010-06-04 15:30 | 156K | |
| estimatingriskmeasur..> | 2013-04-17 08:56 | 166K | |
| estimatingstatistica..> | 2013-06-05 11:18 | 96K | |
| exampleTimeSeriesObj..> | 2008-04-23 16:41 | 5.2K | |
| exercisesTimeSeries.ssc | 2008-04-23 16:41 | 3.4K | |
| extremeValuePowerPoi..> | 2010-05-03 14:35 | 655K | |
| extremeValues.ssc | 2002-05-16 12:43 | 9.0K | |
| extremeValuesPowerPo..> | 2008-04-23 16:41 | 471K | |
| extremevalue.pdf | 2010-05-03 14:21 | 117K | |
| factorExamples.SSC | 2002-05-30 12:29 | 6.4K | |
| factorModelRiskAnaly..> | 2012-05-24 15:30 | 27K | |
| factorModelRiskAnaly..> | 2013-06-03 16:27 | 332K | |
| factorModelsPowerpoi..> | 2012-05-22 15:35 | 264K | |
| factorRiskMeasuremen..> | 2012-05-24 15:31 | 418K | |
| factormodellecture.pdf | 2012-05-22 15:35 | 172K | |
| factormodelriskanaly..> | 2013-06-03 16:27 | 162K | |
| factormodelrisklectu..> | 2013-06-03 16:27 | 162K | |
| filardo.opt | 1997-02-04 17:04 | 12K | |
| filardo.prn | 1997-02-04 17:04 | 23K | |
| fmdata.zip | 2002-04-10 14:49 | 906K | |
| fort.25 | 2002-07-31 14:33 | 16K | |
| fort25.txt | 2002-07-31 14:33 | 645 | |
| garch.opt | 1997-01-23 17:20 | 4.0K | |
| garch.ssc | 2002-05-03 12:59 | 4.7K | |
| gbs_ar4.prg | 1997-02-27 16:33 | 4.7K | |
| gbs_ar4.prn | 1997-02-27 16:33 | 11K | |
| gibs_ms.prg | 1997-02-27 16:33 | 13K | |
| gibs_ms.prn | 1997-02-27 16:33 | 11K | |
| goyalWelchRFS2008.pdf | 2009-05-06 15:06 | 1.0M | |
| gtrec.pdf | 2013-04-23 10:14 | 1.2M | |
| gtrec_Generalized%20..> | 2013-04-20 13:06 | 728K | |
| hmt4_kim.opt | 1997-01-28 18:02 | 12K | |
| hmt4_kim.prn | 1997-01-28 18:02 | 2.9K | |
| hmtar4.opt | 1997-01-23 17:20 | 10K | |
| hmtar4.prn | 1997-01-23 17:20 | 3.0K | |
| introductioncreditri..> | 2012-05-31 15:39 | 60K | |
| manual.pdf | 2011-03-31 09:33 | 11M | |
| me20-1-4.pdf | 2012-04-09 08:17 | 187K | |
| msft.xls | 2010-04-06 14:30 | 177K | |
| multivariateGarch.SSC | 2010-04-23 14:30 | 7.1K | |
| multivariategarch.pdf | 2013-05-20 09:21 | 198K | |
| multivariategarchSli..> | 2012-05-08 11:02 | 126K | |
| overviewquantitative..> | 2013-04-01 10:57 | 62K | |
| practicalGarch.ssc | 2008-06-10 08:08 | 41K | |
| realizedKernelsInPra..> | 2011-06-06 11:41 | 4.4M | |
| returnPredictability..> | 2010-04-07 14:16 | 1.4K | |
| returnPredictability..> | 2010-05-03 14:35 | 515K | |
| returnProperties.SSC | 2010-04-07 14:16 | 4.6K | |
| returnpredictability..> | 2010-05-03 13:52 | 130K | |
| returnpredictability..> | 2011-03-31 09:37 | 98K | |
| returnproperties.pdf | 2013-04-01 13:00 | 103K | |
| riskMeasuresPowerpoi..> | 2013-04-23 09:51 | 313K | |
| riskReportsPowerpoin..> | 2013-04-10 12:58 | 85K | |
| risk_technical_0806_..> | 2013-04-17 09:54 | 396K | |
| riskbudgeting.pdf | 2013-04-08 12:13 | 104K | |
| riskbudgetingSlides.pdf | 2012-04-10 09:03 | 97K | |
| riskmanagement.pdf | 2010-05-03 13:52 | 61K | |
| riskmeasures.pdf | 2013-04-08 12:03 | 120K | |
| riskmeasuresSlides.pdf | 2012-04-05 15:17 | 106K | |
| riskreporting.pdf | 2013-04-10 12:58 | 98K | |
| sp500..xls | 2010-04-06 14:30 | 177K | |
| splus_hints.htm | 2008-05-02 14:44 | 17K | |
| ssrn-id684221.pdf | 2012-04-05 15:56 | 128K | |
| ssrn-id930034.pdf | 2013-05-29 12:25 | 183K | |
| ssrn-id1341363.pdf | 2013-04-20 13:01 | 424K | |
| ssrn-id1404820.pdf | 2013-04-20 13:01 | 268K | |
| ssrn-id1707661.pdf | 2012-05-24 15:35 | 281K | |
| ssrn-id1997178.pdf | 2013-04-17 09:54 | 116K | |
| ssrn-id2084872.pdf | 2013-05-20 09:24 | 533K | |
| stk_wtsn.opt | 1997-01-23 17:20 | 10K | |
| stk_wtsn.prn | 1997-01-23 17:20 | 24K | |
| stochasticVolatility..> | 2010-05-03 14:35 | 416K | |
| stochasticvolatility..> | 2010-05-03 13:52 | 108K | |
| stochasticvolatility..> | 2010-05-03 13:52 | 149K | |
| timeSeriesConceptsPo..> | 2008-04-10 17:20 | 140K | |
| timeSeriesManipulati..> | 2002-04-17 17:10 | 14K | |
| timeSeriesRegression..> | 2002-04-17 17:10 | 9.1K | |
| tsconcepts.ssc | 2002-04-17 17:10 | 9.0K | |
| turner3.opt | 1997-01-28 18:02 | 3.9K | |
| turner3.prn | 1997-01-28 18:02 | 14K | |
| tvp.prn | 1997-01-23 17:20 | 6.4K | |
| tvp_.opt | 1997-01-23 17:20 | 5.3K | |
| univariateGarch.ssc | 2010-04-07 14:16 | 15K | |
| univariateGarch2012p..> | 2013-04-24 15:14 | 500K | |
| univariateGarchAdvan..> | 2013-04-29 12:35 | 146K | |
| univariateGarchPower..> | 2010-05-03 14:35 | 1.1M | |
| univariategarch.pdf | 2013-04-24 16:58 | 317K | |
| univariategarchpart2..> | 2013-05-15 10:57 | 215K | |
| univariategarchpart2..> | 2012-04-26 16:09 | 125K | |
| univariategarchslide..> | 2012-04-24 15:44 | 156K | |
| v11n2a4.pdf | 2012-04-09 08:18 | 245K | |