HT Week 2

From Kevin Sheppard

MT Week 2 material from class.

Corrections and in-class notes
Week 2 (Univariate Volatility)

Notes
Financial Econometrics Notes (Complete Set)
Chapter 1 (Estimation and Inference)
Chapter 2 (Cross Sectional Analysis)
Chapter 3 (Univariate Time Series)
Chapter 4 (Univariate Volatility)
Chapter 5 (Value-at-Risk and Density Forecasting)
Chapter 6 (Multivariate Time Series)
Chapter 7 (Multivariate Volatilty, Dependence and Copulas)
Chapter 8 (Generalized Method of Moments)
List of Typos

Assigned Problems
HT Week 2 Assignment (Due Monday Week 4)

Answers to Assigned Problems
HT Week 2 Assignment Answers

MATLAB Assignment and Solution
MATLAB HT Assignment 2

Lecture Handouts
Week 2 (Univariate Volatility) Handout

Lecture Presentations (Color Version of Handouts)
Week 2 (Univariate Volatility) Presentation