HT Week 5

From Kevin Sheppard

MT Week 5 material from class.

Corrections and in-class notes
Week 5 (Value-at-Risk)
Week 5 (Multiple Time Series)

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

Computational Assignment
Computational Assignment 1

Assigned Problems
HT Week 5 Assignment (Due Monday Week 7)

Answers to Assigned Problems
HT Week 5 Assignment Answers

Lecture Handouts
Week 5 (Value-at-Risk, Expected Shortfall and Density Forecasting) Handout
Week 5 (Multiple Time Series) Handout

Lecture Presentations (Color Version of Handouts)
Week 5 (Value-at-Risk, Expected Shortfall and Density Forecasting) Presentation
Week 5 (Multiple Time Series) Presentation