Search This Blog

Sunday, September 09, 2012

Computer Finance and Financial Econometrics PDF SLIDES

Computer Finance and Financial Econometrics

Instructor: Eric Zivot
Textbook: Statistics and Data Analysis for Financial Engineering by David Ruppert
Download Slides from here

Return Calculations

 Probability Review

matrix Algebra

Time Series Concepts

Descriptive Statistics

Constant Expected Return Model

Bootstrapping in CER Model

Hypothesis Testing in CER Model

Maximum Likelihood Estimation

Introduction to Portfolio Theory

Portfolio Theory with Matrix Algebra

Single Index Model and Linear Regression

Rolling Analysis of Single Index Model

Capital Asset Pricing Model

  • capm2.pdf. The capital asset pricing model and some simple tests.

  • capmSlides.pdf.  Revised December 3, 2004.

Measuring Portfolio Performance

No comments:

Post a Comment

Popular Courses

Resources Higher Education Blogs - BlogCatalog Blog Directory Resources Blogs