This page is out of date and you should look at the most current material available at Category:MFE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
Matlab introduction can be found here You should directly save rather than open in a browser.
|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 introduction is coming soon.
Video demonstration of the use of Eviews. You should save these directly to your hard drive.