MFE 2005

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This page is out of date and you should look at the most current material available at Category:MFE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