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|
Date |
Slides |
Readings & Add. Material |
|
Sessions 1 |
Wed, 12th Oct 2011 |
Review - Linear Regression Model |
Readings |
|
Session 2 |
Wed, 19th Oct 2011 |
Software Introduction |
|
|
Session 3&4 |
Thu, 20th Oct 2011 |
Asymptotic Theory |
Readings |
|
Session 5 |
Wed, 26th Oct 2011 |
GMM |
|
|
Session 6 |
Thu, 27th Oct 2011 |
GMM |
Readings |
|
Session 7 |
Wed, 2nd Nov 2011 |
Monte
Carlo Study |
|
|
Session 8 |
Thu, 3rd Nov 2011 |
GMM II
Asset Pricing Example |
Readings |
|
Session 9 |
Wed, 9th Nov 2011 |
Extremum Estimators
Univariate Time Series Analysis |
Material |
|
Session 10 |
Thu, 10th Nov 2011 |
Multivariate Time Series Analysis |
|
|
Session 11 |
Wed, 16th Nov 2011 |
Multivariate Time Series Analysis |
Data |
|
Session 12 |
Wed, 23rd Nov 2011 |
Volatility Modelling |
Material |
|
Session 13&14 |
Thu, 24th Nov 2011 |
Volatility Modelling II
Quantal Response
Models |
Material
Material
Readings |
|
Session 15 |
Wed, 30th Nov 2011 |
High Frequency Finance I |
|
|
Session 16 |
Thu, 1st Dec 2011 |
HFF -
Application |
|
|
Session 17 |
Wed, 7th Dec 2011 |
High Frequency Finance II |
Material |
|
Session 18 |
Thu, 8th Dec 2011 |
HFF
II - Application |
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