MFE Financial Econometrics

Notes, assignment and solutions for the MATLAB companion course the accompanies Financial Econometrics I & II.

Solutions are posted after the class that covers the assignment has completed. Solutions are available both as MATLAB Live Scripts, which provide an integrated view of code, text and mathematics and generic m-file scripts. Live Scripts are only usable in recent versions of MATLAB.

MATLAB Notes

A complete set of notes covering the core aspects of MATLAB used in econometric analysis serves as a reference for the companion course.

Introduction

MATLAB Introduction Course

MATLAB Introduction Course Data

Introduction Solutions

Companion Course

MATLAB Companion Course (Complete)

Michaelmas Solutions

Data and Simulation
Estimation and Inference
Linear Regression
Support Files

Hilary Solutions

Data
MATLAB Live Script (mlx) MATLAB Script (m)
Data Set Construction Data Set Construction
ARMA Models
ARCH Models
Value-at-Risk
Vector Autoregressions

Helper Function

Data Set Construction
Expectations
Maximum Likelihood
Data Files (Raw)
Data Files (mat)
Hilary
Michaelmas
Equity Index Data
Ken French Data
FX Rates