28C00200 - Econometrics for Finance, Lecture, 13.9.2021-26.10.2021
This course space end date is set to 26.10.2021 Search Courses: 28C00200
Översikt
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Readings
We do not rely on a single textbook for this course. The provided videos, slides and other materials include all content covered in this course.
For background reading, Brooks (2008) - Introductory Econometrics for Finance, second edition is a good source for most of the material covered in this class.
Any introductory econometrics textbook available in the BIZ library will is also suitable for background reading, e.g.:
Stock and Watson - Introduction to Econometrics
Dougherty - Introduction to Econometrics
Fabozzi - Basics of Financial Econometrics (available as ebook in the library)
In addition, I recommend reading the book Econometric data science by Francis Diebold, which is an intuitive (non-technical) open access introduction to econometrics. I will recommend chapters from this book (Diebold, 2019) related to the lectures.Finally, the Youtube course A full course in econometrics (see below) is very useful. I will recommend specific videos related to the topics discussed in the lectures.
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R
We will make extensive use of the software R (http://www.r-project.org/). You should install R on your own computer. I also recommend installing RStudio, which is a user-friendly interface.
There are a many free online resources for R users, including books, video courses, discussion forums, etc. (Example video course: https://www.youtube.com/playlist?list=PLtL57Fdbwb_Chn-dNR0qBjH3esKS2MXY3)
When in doubt how to do something in R, just Google it.
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