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Course Material -
FM 431: Econometrics of Financial Markets

About this course

• Syllabus (PDF)

Slides

• Chapter 1. Introduction (PDF)
• Chapter 2. Are Asset Returns Predictable? (PDF)
• Chapter 3. ARMA Models (PART) (PDF)
• Chapter 4. GARCH Processes (PDF)
• Chapter 5. Models With Trend (PART) (PDF)

Problem sheets

• Sheet #1 (PDF)
• Sheet #2 (PDF)
• Sheet #3 (PDF)
• Sheet #4 (PDF)
• Sheet #5 (PDF)
• Sheet #6 (PDF)
• Sheet #7 (PDF)
• Sheet #8 (PDF)
• Sheet #9 (PDF)
• Sheet #10 (PDF)

R script files and data files

• Gold, silver, platinum prices --- with errors! (zip)
• Analysis and forecast of tourist arrivals using stl (zip)
• Marriages in Turkey by month (zip)
• DJIA historical daily data: 1901 - 2008 (zip)
• Iterations in XU100 (zip)
• Analyzing market data (zip)
• Monthly exports from Germany, 1952-2009 (csv)
• Simulated ARMA processes (zip)
• Example approval ratings American presidents (zip)
• Problem Sheet #3: Simulated processes (zip)
• Problem Sheet #6: Example: Fitting a GARCH to FCHI returns (zip)
• DJIA historical daily data: 1901 - 2008 (zip)
• Problem Sheet #9: data_brent_wti_daily.dat (zip)

Further course material

• Term project list, updated 2009-09-16 (PDF)
• Smoothing and decomposing a time series (PDF)
• Autocorrelation functions of ARMA Processes (PDF)
• Analyzing a time series of American presidents' approval ratings (PDF)

Grades

• Grade list, updated 2010-01-08 (pdf)

Document last modified on February 22, 2021.