This course covers fundamental econometric tools that using in real financial world.

• Office Hour: Fridays, 4-5 pm or by appointment
• Discussion Session: Fridays, 1:30-2:30 pm, Location: OTRSN 1E106
• Final Review: 4-5 pm 12/6/24, Location: OTRSN 1E106; OH: 5-6 pm thereafter

Slides & Handouts

• Lecture 1 (11/8): Homework 3 hints; Regression Review: (1) Finite Sample Theory (2) Large Sample Theory; Stambaugh bias
  • MGTF404_Lec1_Slides_blank
  • MGTF404_Lec1_Slides_w_sol
  • • MGTF404_Handout1
• Lecture 2 (11/15): VAR; MLE
  • MGTF404_Lec2_Slides_blank
  • MGTF404_Lec2_Slides_w_sol
• Lecture 3 (11/22): Homework 4 hints; Volatility Models
  • MGTF404_Lec3_Slides_blank
  • MGTF404_Lec3_Slides_w_sol
• No class on 11/29 (Thanksgiving week)
• Lecture 4 (12/6): Final Review
  • Slides: MGTF404_Final_Review_Slides