Financial Econometrics Notes
Kevin Sheppard University of Oxford
November 14, 2012
Contents
1 Probability,RandomVariablesandExpectations
2 Estimation,InferenceandHypothesisTesting
3 AnalysisofCross-SectionalData
4 AnalysisofaSingleTimeSeries
5 AnalysisofMultipleTimeSeries
6 GeneralizedMethodOfMoments(GMM)
7 UnivariateVolatilityModeling
8 Value-at-Risk,ExpectedShortfallandDensityForecasting
9 MultivariateVolatility,DependenceandCopulas
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