# MFE 2005

From Kevin Sheppard

**This page is out of date and you should look at the most current material available at** Category:MFE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