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Course Material —
FEC 522: Financial Econometrics II

About this course

• Syllabus, v2013-02-21 (PDF)

Slides

• Before an Introduction: From Our Recent Research (PDF)
• 1 Introduction (PDF)
• 2 Analyzing Price Changes: Some Aspects (PDF)
• 3 Multiple Regression (PDF)
• 4 ARMA Models (PDF)
• 5 GARCH Models (PDF)
• 6 VAR Models (PDF)
• 7 Bivariate GARCH Models (PDF)
• 8 Models for Return Distributions (PDF)

Further course material

• Problems, 2015-05-04 (PDF)
• Material, R session, 2013-03-02 (zip)
• OPEC announcements and oil price volatility, presented at Bern (Switzerland) (pdf)
• Problem Sheet, 2012-03-10 (pdf)
• Problem Sheet Bank Customers, 2013-03-02 (pdf)
• R Files for Problem Sheet Bank Customers, 2013-03-02 (zip)
• Term projects (pdf)
• Example: Bank Customers — Problem Sheet (pdf)
• Example: Bank Customers — data & R script files (zip)
• Problem Sheet with Solutions, 2011-03-26 (pdf)
• R script file with Solution of Problem 9
• data_dji_fchi_ftse...(Some stock index data, zipped csv file)
• Problem Sheet, supermarket customers, R analysis
• R script and data files, supermarket example
• Oil prices series: testing for unit roots etc. (zip)
• R simulation of cointegrated processes (zip)

Document last modified on February 22, 2021.