Author: Paul Söderlind
Type: Study Notes, Lecture Notes, e-book
Level: Advanced Undergraduate(Stat, Math, Fin, Econ), MBA, MSc, PhD
Paul Söderlind's lecture notes start with a review of statistics and least squares estimation. There is also a primer in matrix algebra. Chapter 3 deals with Index models and there is a subsection about principal component analysis. Next, the reader can find about testing the Capital Asset Pricing Model (CAPM) and multifactor models. The concepts of an Autoregression (AR) process, Moving Average (MA) process, Autoregression Moving Average ARMA(p,q) process and Vector Autoregrssive Process are presented in chapter 5. Chapter 6 is devoted to the interesting topic of predicting asset returns and chapter 7 is about maximum likelihood estimation (MLE). The concept of heteroscedasticity is developed next with reference in ARCH and GARCH models. Chapters 9,10 and 11 discuss about risk measures and return distributions. A brief coverage of option pricing follows. The topic of chapter 13 is event studies with a disussion about testing abnormal returns. The lecture notes conclude with kernel density estimation and regression.
Download Paul Söderlind's "Lecture Notes in Financial Econometrics" (MSc course) using the following link
Type: Study Notes, Lecture Notes, e-book
Level: Advanced Undergraduate(Stat, Math, Fin, Econ), MBA, MSc, PhD
Paul Söderlind's lecture notes start with a review of statistics and least squares estimation. There is also a primer in matrix algebra. Chapter 3 deals with Index models and there is a subsection about principal component analysis. Next, the reader can find about testing the Capital Asset Pricing Model (CAPM) and multifactor models. The concepts of an Autoregression (AR) process, Moving Average (MA) process, Autoregression Moving Average ARMA(p,q) process and Vector Autoregrssive Process are presented in chapter 5. Chapter 6 is devoted to the interesting topic of predicting asset returns and chapter 7 is about maximum likelihood estimation (MLE). The concept of heteroscedasticity is developed next with reference in ARCH and GARCH models. Chapters 9,10 and 11 discuss about risk measures and return distributions. A brief coverage of option pricing follows. The topic of chapter 13 is event studies with a disussion about testing abnormal returns. The lecture notes conclude with kernel density estimation and regression.
Download Paul Söderlind's "Lecture Notes in Financial Econometrics" (MSc course) using the following link
Lecture Notes in Financial Econometrics
Paul Söderlind is professor of finance at the University of St. Gallen, Switzerland.
Paul Söderlind's web page:
http://home.datacomm.ch/paulsoderlind/
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