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Financial Econometrics Companion Course

A course the accompanies the MFE Financial Econometrics core lecture series.

Financial Econometrics Companion Course

Course Content

The course covers aspects of financial econometrics including:

  • Simulation and Monte Carlo
  • Maximum Likelihood Estimation
  • Regression and Model Selection
  • Linear Time Series Models
  • Volatility Modeling
  • Value-at-Risk Estimation
  • Vector Autoregressions

The course follows an outline and is divided into a large number of distinct problems. The problems are grouped into lessons, and each is available as a blank Jupyter notebook as well as through a completed notebook.

Getting Started

The simplest method to get the course content is to download the zip of the GitHub repository. If you are comfortable with git, you can clone the repo using

git clone

The complete list of lessons appears in the table below.