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Introduction to Computational Finance and Financial Econometrics
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0 - Resources (Size: 3.91 GB) (Files: 323)
0 - Resources
3firmExample.xls.xls
_index.webarchive
An Introduction to R.pdf
bootStrap.r
cerExample.csv.csv
cerModelExamples.r
Descriptive Statistics Examples for Daily Data.pdf
descriptiveStatistics.r
econ424lab1.r
hypothesisTestingCER.r
IntroPortfolioTheory.xls.xls
lab3.r
lab4.r
lab5.r
lab7.r
lab8.r
lab8returns.csv.csv
lab9.r
lab9returns.csv.csv
matrixReview.r
matrixReview.xlsx.xlsx
PerformanceAnalytics Charts and Tables Reference.pdf
Portfolio Theory Examples.pdf
Portfolio Theory with Matrices Examples.pdf
portfolio.r
portfolio_noshorts.r
portfolioTheoryNoShortSales.r
probReview.r
probReview.xls.xls
R Bootstrap Examples.pdf
R CER Model Examples.pdf
R Descriptive Statistics Examples.pdf
R Examples for Portfolio Functions with no short sales.pdf
R for Beginners.pdf
R Hypothesis Testing Examples.pdf
R Introduction.pdf
R Matrix Examples.pdf
R Portfolio Functions.pdf
R Probability Examples.pdf
R Time Series Examples.pdf
Return Calculations Examples.xls
Return Calulations in R.pdf
returnCalculations.r
RIntro.r
rollingPortfolios.r
Single Index Model Examples.pdf
singleIndex.r
singleIndexPrices.xls.xls
Statistical Analysis of Efficient Portfolios.pdf
testport.r
timeSeriesConcepts.r
Using mvtnorm.pdf
Week 10_ Estimating the Single Index Model.pdf
Week 10_ Portfolio Risk Budgeting.pdf
Week 10_ Single Index Model.pdf
Week 1_ Return Calculations (Updated 9 11 2012).pdf
Week 2_ Probability Review.pdf
Week 3_ Matrix Review.pdf
Week 3_ Probability Review Continued.pdf
Week 4_ Time Series Concepts.pdf
Week 5_ Descriptive Statistics.pdf
Week 6_ Constant Expected Return Model.pdf
Week 7_ Bootstrapping.pdf
Week 7_ Hypothesis Testing.pdf
Week 8_ Introduction to Portfolio Theory.pdf
Week 8_ Portfolio Theory with Matrices.pdf
Week 9_ Portfolio Theory with No Short Sales.pdf
Week 9_ Statistical Analysis of Efficient Portfolios.pdf
xts_ Extensible Time Series.pdf
zoo Quick Reference.pdf
zoo_ An S3 Class and Methods for Indexed Totally Ordered Observations..pdf
1 - 1 - Welcome to Introduction to Computational Finance and Financial Econometrics (1314).mp4
10 - 1 - 4.0 Week 4 Introduction (211).mp4
10 - 1 - 4.0 Week 4 Introduction (211).srt
10 - 2 - 4.1 Matrix Algebra Portfolio Math (2114).mp4
10 - 2 - 4.1 Matrix Algebra Portfolio Math (2114).srt
10 - 3 - 4.2 Matrix Algebra Bivariate Normal (726).mp4
10 - 3 - 4.2 Matrix Algebra Bivariate Normal (726).srt
11 - 1 - 4.3 Time Series Concepts (1648).mp4
11 - 1 - 4.3 Time Series Concepts (1648).srt
11 - 2 - 4.4 Autocorrelation (914).mp4
11 - 2 - 4.4 Autocorrelation (914).srt
11 - 3 - 4.5 White Noise Processes (1231).mp4
11 - 3 - 4.5 White Noise Processes (1231).srt
11 - 4 - 4.6 Nonstationary Processes (1729).mp4
11 - 4 - 4.6 Nonstationary Processes (1729).srt
11 - 5 - 4.7 Moving Average Processes (2545).mp4
11 - 5 - 4.7 Moving Average Processes (2545).srt
11 - 6 - 4.8 Autoregressive Processes Part 1 (319).mp4
11 - 6 - 4.8 Autoregressive Processes Part 1 (319).srt
11 - 7 - 4.9 Autoregressive Processes Part 2 (2819).mp4
11 - 7 - 4.9 Autoregressive Processes Part 2 (2819).srt
12 - 1 - 5.0 Week 5 Introduction.mp4
12 - 2 - 5.1 Covariance Stationarity (1128).mp4
12 - 2 - 5.1 Covariance Stationarity (1128).srt
12 - 3 - 5.2 Histograms (1133).mp4
12 - 3 - 5.2 Histograms (1133).srt
12 - 4 - 5.3 Sample Statistics (1524).mp4
12 - 4 - 5.3 Sample Statistics (1524).srt
12 - 5 - 5.4 Empirical CDF and QQ plots (1200).mp4
12 - 5 - 5.4 Empirical CDF and QQ plots (1200).srt
12 - 6 - 5.5 Outliers Part 1 (715).mp4
12 - 6 - 5.5 Outliers Part 1 (715).srt
12 - 7 - 5.6 Outliers Part 2 (739).mp4
12 - 7 - 5.6 Outliers Part 2 (739).srt
12 - 8 - 5.7 Graphical Measures (2317).mp4
12 - 8 - 5.7 Graphical Measures (2317).srt
12 - 9 - 5.8 Descriptive Statistics for Daily Data (2417).mp4
12 - 9 - 5.8 Descriptive Statistics for Daily Data (2417).srt
13 - 1 - 6.0 Week 6 Introduction.mp4
13 - 10 - 6.9 Confidence Intervals (1247).mp4
13 - 10 - 6.9 Confidence Intervals (1247).srt
13 - 11 - 6.10 Monte Carlo Simulation (1527).mp4
13 - 11 - 6.10 Monte Carlo Simulation (1527).srt
13 - 12 - 6.11 Value at Risk in CER model (736).mp4
13 - 12 - 6.11 Value at Risk in CER model (736).srt
13 - 2 - 6.1 Constant Expected Return Model (1407).mp4
13 - 2 - 6.1 Constant Expected Return Model (1407).srt
13 - 3 - 6.2 Simulating Data (1214).mp4
13 - 3 - 6.2 Simulating Data (1214).srt
13 - 4 - 6.3 Random Walk Model (538).mp4
13 - 4 - 6.3 Random Walk Model (538).srt
13 - 5 - 6.4 Estimating Parameters of CER (1859).mp4
13 - 5 - 6.4 Estimating Parameters of CER (1859).srt
13 - 6 - 6.5 Bias and Precision (1302).mp4
13 - 6 - 6.5 Bias and Precision (1302).srt
13 - 7 - 6.6 Mean Squared Error (122).mp4
13 - 7 - 6.6 Mean Squared Error (122).srt
13 - 8 - 6.7 Standard Errors (2212).mp4
13 - 8 - 6.7 Standard Errors (2212).srt
13 - 9 - 6.8 Asymptotic Properties of Estimators (1411) .mp4
13 - 9 - 6.8 Asymptotic Properties of Estimators (1411) .srt
14 - 1 - 7.0 Week 7 Introduction (243).mp4
14 - 1 - 7.0 Week 7 Introduction (243).srt
14 - 2 - 7.1 Bootstrap (2606).mp4
14 - 2 - 7.1 Bootstrap (2606).srt
14 - 3 - 7.2 Performing the Bootstrap in R (1810).mp4
14 - 3 - 7.2 Performing the Bootstrap in R (1810).srt
14 - 4 - 7.3 Boostrapping VaR (844).mp4
14 - 4 - 7.3 Boostrapping VaR (844).srt
15 - 1 - 7.4 Hypothesis Testing Introduction (829).mp4
15 - 1 - 7.4 Hypothesis Testing Introduction (829).srt
15 - 2 - 7.5 Hypothesis Testing Overview (906).mp4
15 - 2 - 7.5 Hypothesis Testing Overview (906).srt
15 - 3 - 7.6 Hypothesis Testing CER Model (1047).mp4
15 - 3 - 7.6 Hypothesis Testing CER Model (1047).srt
15 - 4 - 7.7 Chi-square and Students t distributions (516).mp4
15 - 4 - 7.7 Chi-square and Students t distributions (516).srt
15 - 5 - 7.8 Test of Specific Coefficient Value (2607).mp4
15 - 5 - 7.8 Test of Specific Coefficient Value (2607).srt
15 - 6 - 7.9 Test for Normal Distribution (836).mp4
15 - 6 - 7.9 Test for Normal Distribution (836).srt
15 - 7 - 7.10 Test for No Autocorrelation (536).mp4
15 - 7 - 7.10 Test for No Autocorrelation (536).srt
15 - 8 - 7.11 Diagnostics for Constant Parameters (2221).mp4
15 - 8 - 7.11 Diagnostics for Constant Parameters (2221).srt
16 - 1 - 8.0 Week 8 Introduction (257).mp4
16 - 1 - 8.0 Week 8 Introduction (257).srt
16 - 10 - 8.9 Tangency Portfolio (1733).mp4
16 - 10 - 8.9 Tangency Portfolio (1733).srt
16 - 11 - 8.10 Examples (1011).mp4
16 - 11 - 8.10 Examples (1011).srt
16 - 12 - 8.11 Portfolio Theory with Matrix Algebra Part 1 (1526).mp4
16 - 12 - 8.11 Portfolio Theory with Matrix Algebra Part 1 (1526).srt
16 - 13 - 8.12 Portfolio Theory with Matrix Algebra Part 2 (1554).mp4
16 - 13 - 8.12 Portfolio Theory with Matrix Algebra Part 2 (1554).srt
16 - 14 - 8.13 Portfolio Theory with Matrix Algebra Part 3 (1634).mp4
16 - 14 - 8.13 Portfolio Theory with Matrix Algebra Part 3 (1634).srt
16 - 15 - Brief Comment about Excel Solver Add-in (212).mp4
16 - 15 - Brief Comment about Excel Solver Add-in (212).srt
16 - 2 - 8.1 Introduction to Portfolio Theory (1435).mp4
16 - 2 - 8.1 Introduction to Portfolio Theory (1435).srt
16 - 3 - 8.2 Portfolio Examples (608).mp4
16 - 3 - 8.2 Portfolio Examples (608).srt
16 - 4 - 8.3 Portfolio Value-at-Risk (611).mp4
16 - 4 - 8.3 Portfolio Value-at-Risk (611).srt
16 - 5 - 8.4 Portfolio Frontier (1028).mp4
16 - 5 - 8.4 Portfolio Frontier (1028).srt
16 - 6 - 8.5 Efficient Portfolios (1000).mp4
16 - 6 - 8.5 Efficient Portfolios (1000).srt
16 - 7 - 8.6 Minimum Variance Portfolio (1243).mp4
16 - 7 - 8.6 Minimum Variance Portfolio (1243).srt
16 - 8 - 8.7 Portfolios with a Risk Free Asset Part 1 (724).mp4
16 - 8 - 8.7 Portfolios with a Risk Free Asset Part 1 (724).srt
16 - 9 - 8.8 Portfolios with a Risk Free Asset Part 2 (1832).mp4
16 - 9 - 8.8 Portfolios with a Risk Free Asset Part 2 (1832).srt
17 - 1 - 9.0 Week 9 Introduction (359).mp4
17 - 2 - 9.1 Computing the Portfolio Frontier (2653).mp4
17 - 2 - 9.1 Computing the Portfolio Frontier (2653).srt
17 - 3 - 9.2 Computing the Tangency Portfolio (2211).mp4
17 - 3 - 9.2 Computing the Tangency Portfolio (2211).srt
17 - 4 - 9.3 Mutual Fund Separation Theorem and Examples (1104).mp4
17 - 4 - 9.3 Mutual Fund Separation Theorem and Examples (1104).srt
17 - 5 - 9.4 Portfolio Analysis in R (843).mp4
17 - 5 - 9.4 Portfolio Analysis in R (843).srt
17 - 6 - 9.5 Portfolio Analysis in Excel Part 1 (1314).mp4
17 - 6 - 9.5 Portfolio Analysis in Excel Part 1 (1314).srt
17 - 7 - 9.6 Portfolio Analysis in Excel Part 2 (854).mp4
17 - 7 - 9.6 Portfolio Analysis in Excel Part 2 (854).srt
18 - 1 - 9.7 Portfolio Theory with No Short Sales (1315).mp4
18 - 1 - 9.7 Portfolio Theory with No Short Sales (1315).srt
18 - 2 - 9.8 R packages for Portfolio Theory (643).mp4
18 - 2 - 9.8 R packages for Portfolio Theory (643).srt
18 - 3 - 9.9 Using Solve.QP() in R (1019).mp4
18 - 3 - 9.9 Using Solve.QP() in R (1019).srt
18 - 4 - 9.10 Global minimum variance (816).mp4
18 - 4 - 9.10 Global minimum variance (816).srt
18 - 5 - 9.11 Efficient Frontier (856).mp4
18 - 5 - 9.11 Efficient Frontier (856).srt
19 - 1 - 9.12 Statistical Analysis of Efficient Portfolios (835).mp4
19 - 1 - 9.12 Statistical Analysis of Efficient Portfolios (835).srt
19 - 2 - 9.13 Bootstrapping Efficient Portfolios (2201).mp4
19 - 2 - 9.13 Bootstrapping Efficient Portfolios (2201).srt
19 - 3 - 9.14 Efficient Portfolios Over Time (1801).mp4
19 - 3 - 9.14 Efficient Portfolios Over Time (1801).srt
2 - 1 - 1.0 Week 1 Introduction (058).mp4
20 - 1 - 10.0 Week 10 Introduction (150).mp4
20 - 1 - 10.0 Week 10 Introduction (150).srt
20 - 2 - 10.1 Portfolio Risk Budgeting (1059).mp4
20 - 2 - 10.1 Portfolio Risk Budgeting (1059).srt
20 - 3 - 10.2 Eulers Theorem and Risk Decomposition (1720).mp4
20 - 3 - 10.2 Eulers Theorem and Risk Decomposition (1720).srt
20 - 4 - 10.3 Risk Decomposition for Portfolio Volatility (912).mp4
20 - 4 - 10.3 Risk Decomposition for Portfolio Volatility (912).srt
20 - 5 - 10.4 Using and Interpreting Marginal Contribution to Risk (1211).mp4
20 - 5 - 10.4 Using and Interpreting Marginal Contribution to Risk (1211).srt
20 - 6 - 10.5 Beta (1914).mp4
20 - 6 - 10.5 Beta (1914).srt
21 - 1 - 10.6 Sharpes Single Index Model (1048).mp4
21 - 1 - 10.6 Sharpes Single Index Model (1048).srt
21 - 10 - 10.15 A Single Index Model Portfolio Example (554).mp4
21 - 10 - 10.15 A Single Index Model Portfolio Example (554).srt
21 - 11 - 10.16 Estimating the Single Index Model Covariance Matrix (456).mp4
21 - 11 - 10.16 Estimating the Single Index Model Covariance Matrix (456).srt
21 - 12 - 10.17 Hypothesis Testing in the Single Index Model (1334).mp4
21 - 12 - 10.17 Hypothesis Testing in the Single Index Model (1334).srt
21 - 2 - 10.7 Statistical Properties of the Single Index Model (1220).mp4
21 - 2 - 10.7 Statistical Properties of the Single Index Model (1220).srt
21 - 3 - 10.8 Decomposition of Total Variance (942).mp4
21 - 3 - 10.8 Decomposition of Total Variance (942).srt
21 - 4 - 10.9 The Single Index Model and Portfolios (751).mp4
21 - 4 - 10.9 The Single Index Model and Portfolios (751).srt
21 - 5 - 10.10 Estimating the Single Index Model (1233).mp4
21 - 5 - 10.10 Estimating the Single Index Model (1233).srt
21 - 6 - 10.11 Examples with the Single Index Model (1803).mp4
21 - 6 - 10.11 Examples with the Single Index Model (1803).srt
21 - 7 - 10.12 Least Squares Estimation of Single Index Model Parameters (2106).mp4
21 - 7 - 10.12 Least Squares Estimation of Single Index Model Parameters (2106).srt
21 - 8 - 10.13 Statistical Properties of Least Square Estimates (831).mp4
21 - 8 - 10.13 Statistical Properties of Least Square Estimates (831).srt
21 - 9 - 10.14 Using Matrix Algebra with the Single Index Model (356).mp4
21 - 9 - 10.14 Using Matrix Algebra with the Single Index Model (356).srt
3 - 1 - 1.1 Future Value Present Value and Compounding (1702).mp4
3 - 1 - 1.1 Future Value Present Value and Compounding (1702).srt
3 - 2 - 1.2 Asset Returns (1653).mp4
3 - 2 - 1.2 Asset Returns (1653).srt
3 - 3 - 1.3 Portfolio Returns (912).mp4
3 - 3 - 1.3 Portfolio Returns (912).srt
3 - 4 - 1.4 Dividends (400).mp4
3 - 4 - 1.4 Dividends (400).srt
3 - 5 - 1.5 Inflation (457).mp4
3 - 5 - 1.5 Inflation (457).srt
3 - 6 - 1.6 Annualizing Returns (532).mp4
3 - 6 - 1.6 Annualizing Returns (532).srt
4 - 1 - 1.7 Continuously Compounded Returns (1555).mp4
4 - 1 - 1.7 Continuously Compounded Returns (1555).srt
4 - 2 - 1.8 CC Portfolio Returns and Inflation (550).mp4
4 - 2 - 1.8 CC Portfolio Returns and Inflation (550).srt
5 - 1 - 1.9 Simple Returns (401).mp4
5 - 1 - 1.9 Simple Returns (401).srt
5 - 2 - 1.10 Getting Financial Data from Yahoo (1026).mp4
5 - 2 - 1.10 Getting Financial Data from Yahoo (1026).srt
5 - 3 - 1.11 Return Calculations (621).mp4
5 - 3 - 1.11 Return Calculations (621).srt
5 - 4 - 1.12 Growth of 1 (658).mp4
5 - 4 - 1.12 Growth of 1 (658).srt
6 - 1 - 2.0 Week 2 Introduction (106).mp4
6 - 1 - 2.0 Week 2 Introduction (106).srt
6 - 10 - 2.9 Skewness and Kurtosis (1539).mp4
6 - 10 - 2.9 Skewness and Kurtosis (1539).srt
6 - 11 - 2.10 Students-t Distribution (552).mp4
6 - 11 - 2.10 Students-t Distribution (552).srt
6 - 12 - 2.11 Linear Functions of Random Variables (1113).mp4
6 - 12 - 2.11 Linear Functions of Random Variables (1113).srt
6 - 2 - 2.1 Univariate Random Variables (2011).mp4
6 - 2 - 2.1 Univariate Random Variables (2011).srt
6 - 3 - 2.2 Cumulative Distribution Function (842).mp4
6 - 3 - 2.2 Cumulative Distribution Function (842).srt
6 - 4 - 2.3 Quantiles (750).mp4
6 - 4 - 2.3 Quantiles (750).srt
6 - 5 - 2.4 Standard Normal Distribution (1602).mp4
6 - 5 - 2.4 Standard Normal Distribution (1602).srt
6 - 6 - 2.5 Expected Value and Standard Deviation (1958).mp4
6 - 6 - 2.5 Expected Value and Standard Deviation (1958).srt
6 - 7 - 2.6 General Normal Distribution (623).mp4
6 - 7 - 2.6 General Normal Distribution (623).srt
6 - 8 - 2.7 Standard Deviation as a Measure of Risk (434).mp4
6 - 8 - 2.7 Standard Deviation as a Measure of Risk (434).srt
6 - 9 - 2.8 Normal Distribution Appropriate for simple returns (1422).mp4
6 - 9 - 2.8 Normal Distribution Appropriate for simple returns (1422).srt
7 - 1 - 2.12 Value at Risk (1948).mp4
7 - 1 - 2.12 Value at Risk (1948).srt
8 - 1 - 3.0 Week 3 Introduction (104).mp4
8 - 1 - 3.0 Week 3 Introduction (104).srt
8 - 2 - 3.1 Location-scale Model (1215).mp4
8 - 2 - 3.1 Location-scale Model (1215).srt
8 - 3 - 3.2 Bivariate Discrete Distributions (1418).mp4
8 - 3 - 3.2 Bivariate Discrete Distributions (1418).srt
8 - 4 - 3.3 Bivariate Continuous Distributions (1415).mp4
8 - 4 - 3.3 Bivariate Continuous Distributions (1415).srt
8 - 5 - 3.4 Covariance (1916).mp4
8 - 5 - 3.4 Covariance (1916).srt
8 - 6 - 3.5 Correlation and the Bivariate Normal Distribution (1159).mp4
8 - 6 - 3.5 Correlation and the Bivariate Normal Distribution (1159).srt
8 - 7 - 3.6 Linear Combination of 2 Random Variables (1109).mp4
8 - 7 - 3.6 Linear Combination of 2 Random Variables (1109).srt
8 - 8 - 3.7 Portfolio Example (1920).mp4
8 - 8 - 3.7 Portfolio Example (1920).srt
9 - 1 - 3.8 Matrix Algebra Review Part 1 (1702).mp4
9 - 1 - 3.8 Matrix Algebra Review Part 1 (1702).srt
9 - 2 - 3.9 Matrix Algebra Review Part 2 (2010).mp4
9 - 2 - 3.9 Matrix Algebra Review Part 2 (2010).srt
_index.webarchive
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