Applications in Finance Using EViews

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视频教程
http://perso.fundp.ac.be/~mpetijea/MyEviews/MyEviews.htm


·         How to Create a New Workfile, Import Data and Create Logreturns (CLIP)
·         Computing Summary Statistics and Plotting Graphs (CLIP)
·         Basic Regression Analysis
o        OLS estimation, Residuals Analysis, Basic Statistics and Hypothesis Testing  (PRG)
·         Estimating the CAPM betas for Dutch firms (written by  P. BOSWIJK , PDF)
o        Estimation of the CAPM Beta and Wald Coefficient Restriction Test (CLIP, Long)
o        Estimation of the CAPM Beta (CLIP, Short)
·         Model Specification
o        Information Criteria (Akaike, Schwartz and Hannan-Quinn),  R-squared, Fisher statistic, Ramsey's RESET, coefficient restriction Wald test, Spotting Outliers and Using Dummies, Chow stability tests (Breakpoint and Forecast tests), Variance Inflation Factors (PRG)
o        Sub-Sample Estimation and Chow Breakpoint Test (CLIP)
·         Heteroskedasticity
o        Testing for Heterosceasticity and Using White's Modified SE Estimates (CLIP, PDF)
o        Multiple Regressions with Stock Returns and Heteroscedasticity (written by P. BOSWIJK , PDF)
§         Testing for Multicollinearity and Heteroscedasticity (CLIP)
§         Dealing with Heteroscedasticity Using the WLS Method and Logs (CLIP)
§         Dealing with Heteroscedasticity Using Heteroskedasticity-Consistent SE & COV (CLIP)
o        Graphing methods, Park test, White test, Weighted Least Squares, Double log functional form, White's heteroskedasticity consistent standard errors, Newey-West heteroskedasticity and autocorrelation consistent (HAC) standard errors (PRG)
·         Serial Correlation
o        Testing for Serial Correlation in the Residuals (CLIP)
o        D-W statistic, Correlogram, Seasonal Patterrn, Breusch-Godfrey Test, Newey-West Heteroskedasticity AND Autocorrelation Consistent Covariances,  GLS using the AR(1) / Cochrane-Orcutt procedure, Dynamic Autoregressive Models (PRG)
·         ARIMA Models and Box-Jenkins Method
o        Box-Jenkins Analysis of US interest rates (PDF, CLIP)
o        Estimating ARIMA Models Up to a Specified Order (PRG)
·         VAR Modeling of European Stock Indices (ZIP)
·         Testing for Non-Linearity
o        ARMA(1,1) Model and Ramsey RESET Test (CLIP)
o        BDS Independence Test on ARMA(1,1) Residuals (CLIP)
o        BDS Independece Test on Time Series (CLIP)
·         Exponential Weighted Moving Average Model (PRG)
o        Exponential Smoothing and Seasonality (CLIP)
·         Modelling Volatility and Correlation
o        Testing for ARCH effects in FTSA index (CLIP)
o        Estimating GARCH(1,1) on FTSA Index (CLIP)
o        Estimating GJR(1,1) on FTSA Index (CLIP)
o        Estimating EGARCH(1,1) on FTSA Index (CLIP)
o        Checking for Volatility Asymetry Using Cross Correlations in GARCH(1,1) on FTSA Index (CLIP)
o        Plotting the Estimated News Impact Curve of an EGARCH(1,1) in an Undated Workfile (CLIP, ZIP)
o        GARCH-M Estimation Using Std Deviation and Variance (CLIP)
o        Estimating ARMA(1,1)-GARCH(1,1) on FTSA Index (CLIP)
o        Forecasting with GARCH(1,1) Models (CLIP)

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关键词：Applications Application Finance Financ EVIEWS written Create 视频教程