Introduction to Financial Econometrics Hypothesis Testing in the Market Model
Eric Zivot Department of Economics University of Washington February 29, 2000
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Hypothesis Testing in the Market Model
In this chapter, we illustrate how to carry out some simpl
Chapter 1 The Constant Expected Return Model
The first model of asset returns we consider is the very simple constant expected return (CER) model. This model assumes that an asset's return over time is normally distributed with a constant (time invariant)
Introduction to Financial Econometrics The Capital Asset Pricing Model
Eric Zivot Department of Economics University of Washington March 2, 2000 1. The Capital Asset Pricing Model
The capital asset pricing model (CAPM) is an equilibrium model for expected
Introduction to Financial Econometrics Chapter 4 Introduction to Portfolio Theory
Eric Zivot Department of Economics University of Washington January 26, 2000 This version: February 20, 2001
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Introduction to Portfolio Theory
Consider the following invest
Introduction to Financial Econometrics Chapter 3 The Constant Expected Return Model
Eric Zivot Department of Economics University of Washington January 6, 2000 This version: January 23, 2001
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1.1
The Constant Expected Return Model of Asset Returns
Assump
Introduction to Financial Econometrics Chapter 2 Review of Random Variables and Probability Distributions
Eric Zivot Department of Economics, University of Washington January 18, 2000 This version: February 21, 2001
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Random Variables
We start with a basi
Introduction to Financial Econometrics Appendix Matrix Algebra Review
Eric Zivot Department of Economics University of Washington January 3, 2000 This version: February 6, 2001
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Matrix Algebra Review
A matrix is just an array of numbers. The dimension of