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MFE Financial Econometrics II: Week 6

Teaching material from Week 6.

Financial Econometrics II: Week 6

Slides

New

In-person Slides (pdf)
In-person Slides (web)
In-person Slides (Jupyter Notebook)

Same as Previous Week

Univariate Volatility
Univariate Volatility (Print Optimized)

Data Files

Univariate Volatility Data (pandas HDF) used in the IPython notebook-based slides.

Executing code in jupyter slides

See the instructions for installing the mfe package to install some function used in the slides.

Weekly Assignment

Week 6 Assignment

Solutions

Week 6 Assignment Solution

Practice Quiz

No new quiz this week

Pre-lecture content

Reading

The readings listed correspond to the pre-recorded content. You should either watch the pre-recorded content or read the notes prior to the Week 6 lecture.

Sections 7.8 and 7.9 from the Univariate Volatility Notes

Presentation

Oxford MFE Students only (Canvas)

  1. Realized Variance
  2. Understanding Realized Variance
  3. Realized Variance Limitations
  4. Improving Realized Variance Estimators
  5. Optimizing Realized Variance
  6. Modeling Realized Variance
  7. Implied Volatility
  8. Model-free Implied Volatility
  9. Understanding Model-free Implied Volatility
  10. The Variance Risk Premium