/ECOM025_2020

Financial Econometrics module (MSc level)

Primary LanguageMATLAB

Financial Econometrics (Course material)

This is some of the material I covered last year for my course of "Financial Econometrics" at the Queen Mary, University of London. Topics are the following:

The syllabus contains:

  • Random variables and expectations
  • Estimation, inference and hypothesis testing
  • Regression analysis
  • Univariate time series analysis
  • Univariate volatility modeling
  • Value-at-Risk and Expected Shortfall
  • Multivariate volatility modeling and correlations

The material include slides and some Matlab codes for the tutorials. This is material for a graduate level module, so an undergraduate degree is useful.

Hope you will find this useful

Daniele