tailieunhanh - Lecture notes in Financial Econometrics

The main contents of the lecture consist of 20 chapter: Review of statistics, least squares estimation, regression diagnostics, asymptotic results on OLS, index models, testing capm and multifactor models, time series analysis, predicting asset returns, maximum likelihood estimation, ARCH and GARCH,. | Lecture Notes in Financial Econometrics (MSc course) Paul Söderlind1 22 May 2016 1 University of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: . Document name: . Contents 1 2 3 4 Review of Statistics Random Variables and Distributions . . . Moments . . . . . . . . . . . . . . . . . Distributions Commonly Used in Tests . . Normal Distribution of the Sample Mean Appendix: Statistical Tables . . . . . . . Appendix: Data Sources . . . . . . . . . . . . . . . 6 6 13 16 19 21 21 . . . . . . 24 24 44 54 57 61 65 . . . . . . . 67 67 68 72 73 74 74 77 Asymptotic Results on OLS Motivation of Asymptotics . . . . . . . . . . . . . . . . . . . . . . . . . 83 83 Least Squares Estimation Least Squares . . . . . . . . . . . . . . Hypothesis Testing . . . . . . . . . . . Heteroskedasticity . . . . . . . . . . . . Autocorrelation . . . . . . . . . . . . . Appendix: A Primer in Matrix Algebra . Appendix: Statistical Tables . . . . . . Regression Diagnostics Model Selection I . . . . . . . . Model Selection II . . . . . . . Comparing Non-Nested Models Non-Linear Models . . . . . . . Outliers . . . . . . . . . . . . . Estimation on Subsamples . . . Robust Estimation . . . . . . . .