financial econometirc

financial econometirc - Lecture Notes in Financial...

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Lecture Notes in Financial Econometrics (MBF, MSc course at UNISG) Paul Soderlind 1 24 June 2005 1 University of St. Gallen and CEPR. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: Paul.Soderlind@unisg.ch. Document name: FinEcmtAll.TeX Contents 1 Review of Statistics 3 1.1 Random Variables and Distributions . . . . . . . . . . . . . . . . . . 3 1.2 Hypothesis Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 1.3 Normal Distribution of the Sample Mean as an Approximation . . . . 13 2 Least Squares and Maximum Likelihood Estimation 15 2.1 Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 2.2 Maximum Likelihood . . . . . . . . . . . . . . . . . . . . . . . . . . 26 A Some Matrix Algebra 28 3 Testing CAPM 30 3.1 Market Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 3.2 Several Factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 3.3 Fama-MacBeth * . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 4 Event Studies 41 4.1 Basic Structure of Event Studies . . . . . . . . . . . . . . . . . . . . 41 4.2 Models of Normal Returns . . . . . . . . . . . . . . . . . . . . . . . 43 4.3 Testing the Abnormal Return . . . . . . . . . . . . . . . . . . . . . . 45 4.4 Quantitative Events . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 A Derivation of (4.8) 47 5 Time Series Analysis 48 5.1 Descriptive Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . 48 5.2 White Noise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 1 5.3 Autoregression (AR) . . . . . . . . . . . . . . . . . . . . . . . . . . 49 5.4 Moving Average (MA) . . . . . . . . . . . . . . . . . . . . . . . . . 57 5.5 ARMA(p,q) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58 5.6 VAR(p) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58 5.7 Non-stationary Processes . . . . . . . . . . . . . . . . . . . . . . . . 60 6 Predicting Asset Returns 65 6.1 Asset Prices, Random Walks, and the Efficient Market Hypothesis . . 65 6.2 Autocorrelations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70 6.3 Other Predictors and Methods . . . . . . . . . . . . . . . . . . . . . 77 6.4 Security Analysts . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 6.5 Technical Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . 82 6.6 Empirical U.S. Evidence on Stock Return Predictability . . . . . . . . 84 7 ARCH and GARCH 89 7.1 Heteroskedasticity . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89 7.2 ARCH Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92 7.3 GARCH Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95 7.4 Non-Linear Extensions . . . . . . . . . . . . . . . . . . . . . . . . . 96 7.5 (G)ARCH-M . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97 7.6 Multivariate (G)ARCH . . . . . . . . . . . . . . . . . . . . . . . . . 98 8 Option Pricing and Estimation of Continuous Time Processes...
View Full Document

Page1 / 60

financial econometirc - Lecture Notes in Financial...

This preview shows document pages 1 - 3. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online