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Quantitative Analysis with Gauss - Course Material

文件名: session3.pdf

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Portrait

Working Papers

Publications

Roxana Chiriac

Anton Flossmann

Sandra Lechner

Ma Hui

Ingmar Nolte

Remi Piatek

Selver Derya Uysal

Valeri Voev

Laura Wichert

Student Research Assistants

Econometrics 1

Econometrics 2

Microeconometrics

Microeconometrics (M.Jochmann)

Financial Econometrics (Nolte/Voev)

Evaluation Econometrics

Microeconometrics (Graduates)

Software

External Courses

Quant. Analysis with GAUSS (HSG, Nolte/Voev)

Topics in Microeconometrics (PLEKHANOV)

Luc Bauwens Courses

Baysian Econometrics

Econometrics of Time Series

Seminars

Empirical Finance

Skill Formation

Dissertations

CoFe

CMS

MicFinMa

Doctoral Programme

Department of Economics

University of Konstanz

Quantitative Analysis with Gauss - Course Material

Session 1

Session 1	Lecture Slides
Gauss Light 8.0	GAUSS Software Package
app_cml_2.0_DOS.zip	Additional Routines (Constrained Maximum Likelihood)
app_ml_5.0_DOS.zip	Additional Routines (Maximum Likelihood)
app_ts_4.0_DOS.zip	Additional Routines (Time Series Analysis)
Quick Start	Manual
User Guide	Manual
Language Reference	Manual
logreturns.gss	Program
dat-prices.zip	Data
txt-prices.zip	Data

Session 2

Session 2	Lecture Slides
dat-returns.zip	Data
txt-returns.zip	Data

Session 3

Session 3	Lecture Slides
Descriptive Analysis	Program
Portfolios Monthly	Info
Portfolios Monthly	Data
Portfolios Monthly	Data
Fama-French Factors	Info
Fama-French Factors	Data
Fama-French Factors	Data
OLS Output	Program

Session 4

Session 4	Lecture Slides
CAPM	Program

Session 5 & 6

Session 5 & 6	Lecture Slides
ARMA Processes	Program
Newey West HAC-VC	Procedure

Session 7 & 8

Session 7 & 8	Lecture Slides
GARCH Processes	Program
Dow Jones Returns	Data

Session 9

Session 9	Lecture Slides
Volatility Signature Plot	Program
IBM Tick by Tick Trades	Data
IBM Tick by Tick Quotes	Data

Session 10

Session 10	Lecture Slides
Probit & Logit	Program
Affairs Dataset	Data

Session 11 & 12

Session 11 & 12	Lecture Slides
Data	GAUSS Datasets
GAUSS GMM Toolbox	GAUSS Procedures
Asset Pricing	Program
Monte Carlo Simulation	Program

Take home Exams

Take Home Exam 1

Take Home Exam 2

Additional Material

Financial Econometrics Scriptum (University of Konstanz)

Note: Several students from the Konstanz course have pointed out that one of the src files for GAUSS from our website does not work properly, namely the vmutlils.src. You should just copy it into your "...\Gauss8.0\src\" folder

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