Download study notes, lecture notes, e-books and educational material covering topics from finance, economics and mathematics. The material refers to undergraduate students, graduate students (Masters, MBAs, PhDs etc), researchers and practitioners.
  Investors and traders may find useful material such as lecture notes on asset pricing and portfolio theory. There is a rich literature for option traders such as material ranging from stochastic calculus to option pricing under non-normal distributions.

In order to find what you are looking for, try to use the search functionality ("SEARCH THIS BLOG") on the right or use the LABELS CLOUD. If you are interested in a graduate-level text search for the "Graduate" label. However, if you prefer more advanced material search for the "PhD" label. Don't publish downloaded files without the authors' permission


You can find more finance lecture notes & ebooks in finance.link2k.com

Saturday, July 16, 2011

Lecture Notes in Empirical Finance

Author: Paul Söderlind
Type: Study Notes, Lecture Notes, e-book
Level: Advanced MBA's, MSc(Math. Fin, Stat), PhD(Econ, Fin)

The lecture notes start with a brief introduction to Generalized Method of Moments (GMM), Maximum Likelihood Estimation (MLE) and the Newey-West Estimator. After a discussion about return distributions, chapter 3 deals with predicting asset returns. Chapter 4 covers volatility models such as ARCH, GARCH, GARCH-M and multivariate GARCH. Factor models are the topic of chapter 5. An appendix shows how to calculate the GMM estimator. The author discusses about the Consumption-based Asset Pricing Model (CCAPM; Lucas, 1978) and the related puzzles in chapter 6. Chapters 7 through 9 deal with interest rates and the reader can find topics such as the Expectations Hypothesis and affine yield curve models.

Download Paul Söderlind's "Lecture Notes in Empirical Finance" (PhD course) using the following link

Lecture Notes in Empirical Finance

Paul Söderlind is professor of finance at the University of St. Gallen, Switzerland.

Paul Söderlind's web page:
http://home.datacomm.ch/paulsoderlind/



Related books from Amazon.com
Posted by rnts_01 at 12:04 AM
Labels: , , , , , , , , , ,

1 comment:

  1. UnknownJune 15, 2016 at 11:22 AM

    Great tips and very easy to understand. This will definitely be very useful for me when I get a chance to start my blog.
    Milton Barbarosh

    ReplyDelete

Subscribe to: Post Comments (Atom)