Financial Econometrics

Office hours:  Friday 219D, Tuesday 9-11am and 3:00-5:00 p.m. (or by appointment)

November 27 Lecture notes on application of conditional volatility models to VaR computation are posted November 20 Problem Set 5 on estimation of volatility models is posted November 19 Lectures notes on state space representation and stochastic volatility models are posted October 31 Final project is HERE.  Programs and data are sent by email.