Empirical Finance

Here you can find a summary of the ARCH models. Basically, in this document you can find everything that the prof. said in the class. It contains explanation of different types of volatility, the basic ARCH model, conditional variance, transformation of the model into ARMA model, volatility clustering, testing for ARCH effects, diagnostic of the model. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It ...

This summary provides the basis for unit roots. It contains an explanation of the unit root issues, transitory effects, permanent effect, random walk model (with drift), trend stationary process, how to solve the issues, de-trending, how to formally test for non-stationarity, Dikey-Fuller test, Augmented Dikey Fuller Test, and a real life example with step by step interpretation of the results table. This summary helps you go through material without watching again the lengthy web-lectures. I ...

Here is a summary of the above models. The explanation is taken from the class. This summary contains everything what we talked about in terms of interpretation, estimation, and diagnostic checks. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can find here everything what he talked about.

This is the summary of forecasting with GARCH and Value at Risk. The summary contains an explaination of the derivation of the GARCH model, evaluation of volatility forecast, value at risk, testing the VaR, how to judge if the VaR is correct, an example of the model, and the criticism. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can fin...

Here are the notes from the ARMA Model Lab session. The document includes all the steps with the explanation attached. There are 8 steps. 1 - Looking to the data, 2 - Looking at the autocorrelation plot, 3 - Estimate ARMA models, 4 - Construct residuals and check if there is autocorrelation, 5 - Construct the fit of the model with the test for homoscedasticity and the log of the VIX, 6 - Forecasting, 7 - Checking the forecast model with explanation of unbiasedness, accuracy, and efficiency, 8 -...

Summary of the book Introductory Econometrics for Finance. The chapters from the course schedule of Empirical Finance.

Summary of the 2nd lecture, week 1. It includes explanation of the logit model with an empirical example, estimation of the model, and how to build a ROC curve step by step as provided by the teacher in class. Also the interpretation of the coefficients is provided. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can find here everything wha...