Econ 40357-Financial Econometrics, Fall 2022. JNH B044<\/p>\n\n\n\n
Tuesdays and Thursdays 12:30-1:45<\/p>\n\n\n\n
__________________________________________________________<\/p>\n\n\n\n
Second Take-Home Exam<\/a><\/p>\n\n\n\n Eviews Workfile for Second Exam<\/a><\/p>\n\n\n\n This is Louie<\/a><\/p>\n\n\n\n Second Exam Solutions<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Textbook<\/p>\n\n\n\n Introductory Econometrics for Finance, 4th<\/sup> ed. By Chris Brooks<\/p>\n\n\n\n Cambridge University Press<\/a> or Amazon<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Syllabus<\/a><\/strong><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n EViews Resources<\/p>\n\n\n\n EViews Website<\/a><\/p>\n\n\n\n Eviews Tutorials<\/a><\/p>\n\n\n\n Eviews Manuals<\/a><\/p>\n\n\n\n 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.<\/p>\n\n\n\n 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.”<\/p>\n\n\n\n Eviews: Useful Eviews Commands<\/a><\/p>\n\n\n\n ____________________________________________________<\/p>\n\n\n\n Old Exams<\/a><\/p>\n\n\n\n Some Data Sources<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Eviews Market Returns–Daily through Annual<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 1<\/strong><\/p>\n\n\n\n Tuesday 23 August 2022<\/strong><\/p>\n\n\n\n Textbook: Chapter 2<\/strong><\/p>\n\n\n\n Day 1 Notes<\/a><\/p>\n\n\n\n Day 2 Notes<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 2<\/p>\n\n\n\n Tuesday 30 August 2022<\/p>\n\n\n\n Textbook: Chapter 3<\/p>\n\n\n\n Day 3 notes<\/a><\/p>\n\n\n\n Day 4: Eviews Tutorial. Download this csv file Eviews Tutorial Data<\/a> and place in a working directory.<\/p>\n\n\n\n Problem Set 1<\/a> <\/strong>uses data in this Excel file<\/a>. Problem set due before class on Thursday 8 September. Here is a Guide<\/a> to submitting the problem set on Canvas. It needs to be a PDF document. Solutions to Problem Set 1<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 3<\/p>\n\n\n\n Tuesday 6 September (scheduled class cancellation)<\/p>\n\n\n\n Thursday 8 September Textbook, pp. 246-276. Day 5 notes<\/a><\/p>\n\n\n\n <\/a>__________________________________________________________<\/a><\/p>\n\n\n\n Week 4<\/p>\n\n\n\n Tuesday 13 September Day 6 prepared notes<\/a> and Day 6 In Class notes<\/a><\/p>\n\n\n\n Thursday 15 September. Day 7 prepared notes<\/a> and In class notes<\/a><\/p>\n\n\n\n Also, Problem Set 2<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 5<\/p>\n\n\n\n Tuesday 20 September Day 8 prepared notes<\/a> and In class notes<\/a><\/p>\n\n\n\n Thursday 22 September: Solutions to Problem Set 2,<\/a> Prepared Notes.pdf<\/a>, and In Class Notes<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 6<\/p>\n\n\n\n Tuesday 27 September Day 10 Prepared notes<\/a> and In class notes<\/a><\/p>\n\n\n\n Thursday 29 September: Problem Set 3<\/a> and accompanying Eviews WorkFile<\/a><\/p>\n\n\n\n Prepared Notes Day 11<\/a> and In Class Notes<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 7<\/p>\n\n\n\n Tuesday 04 October Day 12 Prepared Notes<\/a> and In Class Notes<\/a><\/p>\n\n\n\n Thursday 06 October Day 13 Prepared Notes<\/a> and In Class Notes<\/a> and Solutions to Problem Set 3<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 8<\/p>\n\n\n\n Wednesday 12 October:In Class Notes from 11 October Tuesday<\/a><\/p>\n\n\n\n Take Home Midterm<\/a><\/p>\n\n\n\n Eviews Workfile for Midterm<\/a><\/p>\n\n\n\n Excel File for Midterm<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 9<\/p>\n\n\n\n Tuesday 25 October: Midterm Solution<\/a>, Day 14 Prepared Notes<\/a> and In Class Notes<\/a><\/p>\n\n\n\n _____________________________________<\/p>\n\n\n\n Week 10<\/p>\n\n\n\n Tuesday 1 November Day 15 Prepared Notes<\/a>, In Class Notes<\/a><\/p>\n\n\n\n Thursday 3 November Problem Set 4<\/a> and accompanying Eviews workfile<\/a><\/p>\n\n\n\n Also, the explanation for the difference<\/a> between the forecast in Eviews and by hand in the Midterm, and the little amount of in-class notes<\/a> from that day.<\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 11<\/p>\n\n\n\n Tuesday 8 November. Prepared Notes (in slide form)<\/a>, which is based on the famous Fama-French 3 Factor paper<\/a>.<\/p>\n\n\n\n Thursday 10 November. Prepared Notes<\/a> on Vector Autoregressions. In class notes<\/a> on Vector Autoregressions<\/p>\n\n\n\n Problem Set 4 Solutions<\/a><\/p>\n\n\n\n __________________________________________________________<\/p>\n\n\n\n Week 12<\/p>\n\n\n\n Tuesday 15 November.\ufffd Prepared Notes<\/a><\/p>\n\n\n\n
![This is Louie<\/a><\/p>\n\n\n\nSecond Exam Solutions<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nTextbook<\/p>\n\n\n\nIntroductory Econometrics for Finance, 4th<\/sup> ed. By Chris Brooks<\/p>\n\n\n\nCambridge University Press<\/a> or Amazon<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nSyllabus<\/a><\/strong><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nEViews Resources<\/p>\n\n\n\nEViews Website<\/a><\/p>\n\n\n\nEviews Tutorials<\/a><\/p>\n\n\n\nEviews Manuals<\/a><\/p>\n\n\n\nEViews 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.<\/p>\n\n\n\nEViews 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.”<\/p>\n\n\n\nEviews: Useful Eviews Commands<\/a><\/p>\n\n\n\n____________________________________________________<\/p>\n\n\n\nOld Exams<\/a><\/p>\n\n\n\nSome Data Sources<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nEviews Market Returns–Daily through Annual<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 1<\/strong><\/p>\n\n\n\nTuesday 23 August 2022<\/strong><\/p>\n\n\n\nTextbook: Chapter 2<\/strong><\/p>\n\n\n\nDay 1 Notes<\/a><\/p>\n\n\n\nDay 2 Notes<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 2<\/p>\n\n\n\nTuesday 30 August 2022<\/p>\n\n\n\nTextbook: Chapter 3<\/p>\n\n\n\nDay 3 notes<\/a><\/p>\n\n\n\nDay 4: Eviews Tutorial. Download this csv file Eviews Tutorial Data<\/a> and place in a working directory.<\/p>\n\n\n\nProblem Set 1<\/a> <\/strong>uses data in this Excel file<\/a>. Problem set due before class on Thursday 8 September. Here is a Guide<\/a> to submitting the problem set on Canvas. It needs to be a PDF document. Solutions to Problem Set 1<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 3<\/p>\n\n\n\nTuesday 6 September (scheduled class cancellation)<\/p>\n\n\n\nThursday 8 September Textbook, pp. 246-276. Day 5 notes<\/a><\/p>\n\n\n\n<\/a>__________________________________________________________<\/a><\/p>\n\n\n\nWeek 4<\/p>\n\n\n\nTuesday 13 September Day 6 prepared notes<\/a> and Day 6 In Class notes<\/a><\/p>\n\n\n\nThursday 15 September. Day 7 prepared notes<\/a> and In class notes<\/a><\/p>\n\n\n\nAlso, Problem Set 2<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 5<\/p>\n\n\n\nTuesday 20 September Day 8 prepared notes<\/a> and In class notes<\/a><\/p>\n\n\n\nThursday 22 September: Solutions to Problem Set 2,<\/a> Prepared Notes.pdf<\/a>, and In Class Notes<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 6<\/p>\n\n\n\nTuesday 27 September Day 10 Prepared notes<\/a> and In class notes<\/a><\/p>\n\n\n\nThursday 29 September: Problem Set 3<\/a> and accompanying Eviews WorkFile<\/a><\/p>\n\n\n\nPrepared Notes Day 11<\/a> and In Class Notes<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 7<\/p>\n\n\n\nTuesday 04 October Day 12 Prepared Notes<\/a> and In Class Notes<\/a><\/p>\n\n\n\nThursday 06 October Day 13 Prepared Notes<\/a> and In Class Notes<\/a> and Solutions to Problem Set 3<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 8<\/p>\n\n\n\nWednesday 12 October:In Class Notes from 11 October Tuesday<\/a><\/p>\n\n\n\nTake Home Midterm<\/a><\/p>\n\n\n\nEviews Workfile for Midterm<\/a><\/p>\n\n\n\nExcel File for Midterm<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 9<\/p>\n\n\n\nTuesday 25 October: Midterm Solution<\/a>, Day 14 Prepared Notes<\/a> and In Class Notes<\/a><\/p>\n\n\n\n_____________________________________<\/p>\n\n\n\nWeek 10<\/p>\n\n\n\nTuesday 1 November Day 15 Prepared Notes<\/a>, In Class Notes<\/a><\/p>\n\n\n\nThursday 3 November Problem Set 4<\/a> and accompanying Eviews workfile<\/a><\/p>\n\n\n\nAlso, the explanation for the difference<\/a> between the forecast in Eviews and by hand in the Midterm, and the little amount of in-class notes<\/a> from that day.<\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 11<\/p>\n\n\n\nTuesday 8 November. Prepared Notes (in slide form)<\/a>, which is based on the famous Fama-French 3 Factor paper<\/a>.<\/p>\n\n\n\nThursday 10 November. Prepared Notes<\/a> on Vector Autoregressions. In class notes<\/a> on Vector Autoregressions<\/p>\n\n\n\nProblem Set 4 Solutions<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nWeek 12<\/p>\n\n\n\nTuesday 15 November.\ufffd Prepared Notes<\/a><\/p>\n\n\n\nThursday 17 November. In Class notes, for the week: REPLACE WITH THIS ONE<\/a><\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\n__________________________________________________________<\/p>\n\n\n\nAsset Pricing Basics<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"Econ 40357-Financial Econometrics, Fall 2022. JNH B044 Tuesdays and Thursdays 12:30-1:45 __________________________________________________________ Second Take-Home Exam Eviews Workfile for Second Exam This is Louie Second Exam Solutions __________________________________________________________ Textbook Introductory Econometrics for Finance, 4th ed. By Chris Brooks Cambridge University Press or Amazon __________________________________________________________ __________________________________________________________ Syllabus __________________________________________________________ EViews Resources EViews Website Eviews Tutorials Eviews Manuals EViews 12 University Edition runs on PC and […]<\/p>\n","protected":false},"author":4499,"featured_media":0,"parent":15,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-23","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/sites.nd.edu\/nmark\/wp-json\/wp\/v2\/pages\/23","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/sites.nd.edu\/nmark\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/sites.nd.edu\/nmark\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/sites.nd.edu\/nmark\/wp-json\/wp\/v2\/users\/4499"}],"replies":[{"embeddable":true,"href":"https:\/\/sites.nd.edu\/nmark\/wp-json\/wp\/v2\/comments?post=23"}],"version-history":[{"count":7,"href":"https:\/\/sites.nd.edu\/nmark\/wp-json\/wp\/v2\/pages\/23\/revisions"}],"predecessor-version":[{"id":83,"href":"https:\/\/sites.nd.edu\/nmark\/wp-json\/wp\/v2\/pages\/23\/revisions\/83"}],"up":[{"embeddable":true,"href":"https:\/\/sites.nd.edu\/nmark\/wp-json\/wp\/v2\/pages\/15"}],"wp:attachment":[{"href":"https:\/\/sites.nd.edu\/nmark\/wp-json\/wp\/v2\/media?parent=23"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}](\"http:\/\/sites.nd.edu\/nmark\/files\/2023\/04\/FinancialEconometrics\/2022Course\/ProblemSets\/Midterm02\/DisapprovingLouie.jpg\"){kind=link}