28C00200 - Econometrics for Finance, Lecture, 5.9.2022-18.10.2022

Topic outline

• Materials
  • Select activity Readings

    Readings

    
    

    We do not rely on a single textbook for this course. The slides and other materials provided during the course include all content covered in this course.
    

    
    

    For background reading, Brooks (2019) - Introductory Econometrics for Finance, fourth edition (or any earlier 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 
    

    Bekes and Kezdi - Data Analysis for Business, economics and policy
    

    
    

    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.
    

    
    

    • Readings
  • Select activity Video course: A full course in econometrics - undergraduate level

    

    Video course: A full course in econometrics - undergraduate level URL
  • Select activity R

    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. (e.g. https://intro2r.com/ or  https://www.youtube.com/playlist?list=PLtL57Fdbwb_Chn-dNR0qBjH3esKS2MXY3) 

    
    

    When in doubt on how to do something in R, just Google it.
    

    
    

    • R
  • Select activity Properties of Sums, Expected values, Variances and Covariances

    

    Properties of Sums, Expected values, Variances and Covariances File PDF

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

  • Select activity Mathematical and Statistical Foundations (Brooks)

    

    Mathematical and Statistical Foundations (Brooks) File PDF