Financial Econometrics

Econ 40357-Financial Econometrics, Fall 2022. JNH B044

Tuesdays and Thursdays 12:30-1:45

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Second Take-Home Exam

Eviews Workfile for Second Exam

This is Louie

Second Exam Solutions

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Textbook

Introductory Econometrics for Finance, 4th ed. By Chris Brooks

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Syllabus

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EViews Resources

EViews Website

Eviews Tutorials

Eviews Manuals

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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Old Exams

Some Data Sources

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Eviews Market Returns–Daily through Annual

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Week 1

Tuesday 23 August 2022

Textbook: Chapter 2

Day 1 Notes

Day 2 Notes

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Week 2

Tuesday 30 August 2022

Textbook: Chapter 3

Day 3 notes

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

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

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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

Take Home Midterm

Eviews Workfile for Midterm

Excel File for Midterm

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Week 9

Tuesday 25 October: Midterm SolutionDay 14 Prepared Notes and In Class Notes

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Week 10

Tuesday 1 November Day 15 Prepared NotesIn 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

Problem Set 4 Solutions

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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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Asset Pricing Basics