Econ 40357-Financial Econometrics, Fall 2022. JNH B044
Tuesdays and Thursdays 12:30-1:45
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Eviews Workfile for Second Exam
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Textbook
Introductory Econometrics for Finance, 4th ed. By Chris Brooks
Cambridge University Press or Amazon
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EViews Resources
EViews 12 University Edition runs on PC and Mac. It is $50 and lasts for 6 months, but has some storage limitations. More than sufficient for problem sets.
EViews 12 Student Version is free, but is even more restricted in what it can do. Also, it does not allow you to save your workfiles. I’ve seen reports that it is “buggy.”
Eviews: Useful Eviews Commands
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Eviews Market Returns–Daily through Annual
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Week 1
Tuesday 23 August 2022
Textbook: Chapter 2
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Week 2
Tuesday 30 August 2022
Textbook: Chapter 3
Day 4: Eviews Tutorial. Download this csv file Eviews Tutorial Data and place in a working directory.
Problem Set 1 uses data in this Excel file. Problem set due before class on Thursday 8 September. Here is a Guide to submitting the problem set on Canvas. It needs to be a PDF document. Solutions to Problem Set 1
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Week 3
Tuesday 6 September (scheduled class cancellation)
Thursday 8 September Textbook, pp. 246-276. Day 5 notes
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Week 4
Tuesday 13 September Day 6 prepared notes and Day 6 In Class notes
Thursday 15 September. Day 7 prepared notes and In class notes
Also, Problem Set 2
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Week 5
Tuesday 20 September Day 8 prepared notes and In class notes
Thursday 22 September: Solutions to Problem Set 2, Prepared Notes.pdf, and In Class Notes
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Week 6
Tuesday 27 September Day 10 Prepared notes and In class notes
Thursday 29 September: Problem Set 3 and accompanying Eviews WorkFile
Prepared Notes Day 11 and In Class Notes
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Week 7
Tuesday 04 October Day 12 Prepared Notes and In Class Notes
Thursday 06 October Day 13 Prepared Notes and In Class Notes and Solutions to Problem Set 3
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Week 8
Wednesday 12 October:In Class Notes from 11 October Tuesday
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Week 9
Tuesday 25 October: Midterm Solution, Day 14 Prepared Notes and In Class Notes
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Week 10
Tuesday 1 November Day 15 Prepared Notes, In Class Notes
Thursday 3 November Problem Set 4 and accompanying Eviews workfile
Also, the explanation for the difference between the forecast in Eviews and by hand in the Midterm, and the little amount of in-class notes from that day.
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Week 11
Tuesday 8 November. Prepared Notes (in slide form), which is based on the famous Fama-French 3 Factor paper.
Thursday 10 November. Prepared Notes on Vector Autoregressions. In class notes on Vector Autoregressions
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Week 12
Tuesday 15 November.� Prepared Notes
Thursday 17 November. In Class notes, for the week: REPLACE WITH THIS ONE
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