HT Week 6

From Kevin Sheppard

HT Week 6 material from class.

Corrections and in-class notes
Week 6 (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 Solution
Computational Assignment 1

Assigned Problems
HT Week 6 Assignment (Due Monday Week 8)

Answers to Assigned Problems
HT Week 6 Assignment Answers

Lecture Handouts
Week 6 (Multiple Time Series) Handout

Lecture Presentations (Color Version of Handouts)
Week 6 (Multiple Time Series) Presentation