Lecture Notes in Financial Econometrics

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

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