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Eviews爱好者，下面的网站上有一些EViews的资源，可以供参考。
http://docentes.fe.unl.pt/~lcnunes/courses/int_fin_ec_0607/material.html
Luis Catela Nunes
Faculdade de Economia - Universidade Nova de Lisboa
Additional course material for Introduction to Financial Econometrics
Datasets used in the lectures:
Portuguese Escudo - Deutsch Mark exchange rate (EViews)
N.Y. Stock Exchange Composite Index (EViews)
Treasury Bill Interest Rate Spread (EViews)
ARMA models:
Producer Price Index from Enders (page 87) (Eviews)
Out of sample forecasts for PPI and Diebold-Mariano test (EViews)
Exponential smoothing:
The following readings are recommended:
Chris Brooks, "Introductory Econometrics for Finance": chapter 5
Paul Newbold, "Statistics for Business and Economics": chapter 17 (available at the library as book C10-001)
EViews 5 online help and manuals
VAR models:
M1 and Inflation data for question 7 in Enders (EViews workfile)
Data for fiscal-monetary Structural VAR (EViews workfile)
VAR in differences for term structure of 3 interest rates (EViews workfile)
Forecast error variance decomposition for the 3 interest rates VAR example (Excel)
ARCH models:
Robert Engle 2003 Nobel Lecture
Engle, R. (2002) "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models" with EViews data and EViews program (note: this program includes the commands to estimate the correlation using several methods).
Multivariate GARCH BEKK model: EViews data, EViews program for a bivariate model and EViews program for a trivariate model.
Breaks and unit roots:
Chris Brooks, "Introductory Econometrics for Finance": chapter 4.14
CAPM example in EViews used in class to perform stability tests.
Unit root test with a trend break: "A Guide" and an application to Portuguese GDP using an EViews program.
Switching:
Markov regime switching slides.
Markov regime switching example in Excel by Ulf G. Erlandsson.
Threshold model slides.
Example of a TAR model: data and program.
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