MFE 2005

This page is out of date and you should look at the most current material available at Category:MFE

MFE Financial Econometrics II

Department of Economics
Michaelmas 2005 and Hillary 2006

Computation
Matlab

Matlab introduction can be found here You should directly save rather than open in a browser.

In class example file and data.

Filename	Description
pltdens	Computes and plots the kernel density of a data vector
rolling_OLS	Estimated coefficients and t-stats from rolling regressions
example1	Assignment 1 example code
linear_factor	Estimation of a linear factor CAPM using GMM
Qlinear_factor	GMM objective function for linear factor model
Qlinear_factor_cont	GMM objective function for linear factor model using continuous updating
gmm_linex	Estimation of an AR model using Linex loss
Q_linex_ar	GMM objective function for estimating an AR with Linex loss
newlagmatrix	Support file for gmm_linex and Q_linex_ar

Eviews

Eviews introduction is coming soon.

 

Video demonstration of the use of Eviews.  You should save these directly to your hard drive.

Windows Media 9	Quicktime (MP4)	AVI (Xvid)
Data Importing	Data Importing	Data Importing
Data Analysis	Data Analysis	Data Analysis
Grouped Data Analysis	Grouped Data Analysis	Grouped Data Analysis
Regression	Regression	Regression
Figure Copying	Figure Copying	Figure Copying
Time-Series Analysis	Time-Series Analysis	Time-Series Analysis
Single Equation GMM	Single Equation GMM	Single Equation GMM
GARCH Model Estimation	GARCH Model Estimation	GARCH Model Estimation