Topic outline

  • Materials

    • 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.


      • ReadingsReadings
    • URL icon
      Video course: A full course in econometrics - undergraduate level URL

    • 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.


      • RR
    • File icon
      Properties of Sums, Expected values, Variances and Covariances File
      PDF document

      Make sure to understand these concepts. We use them throughout the course.

    • File icon
      Mathematical and Statistical Foundations (Brooks) File
      PDF document
    • File icon
      Course messengers File
      Powerpoint 2007 presentation