Introductory Econometrics for Finance samenvattingen (1e druk)

Here are the exercises from Chapter 3 and 4 together with their solutions.

Summary of the 2nd lecture, week 1. It includes explanation of the logit model with an empirical example, estimation of the model, and how to build a ROC curve step by step as provided by the teacher in class. Also the interpretation of the coefficients is provided. The self-study questions and the multiple questions with the solutions are from the end of the book. The exam questions are from the exams provided by the lecturer.

Summary of the 1st lecture, week 1. It includes explanations of the Dummy variables and interactions, visualisation of interaction effects, R-squared, Adjusted R-Square, Multicollinearity, interpretation of the entire Stata table, interpretation of the sign of the coefficients, p-values, t-values, and standard errors, Root MSE, and the F-test. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps al...

Here is the summary from the models AR(1), MA(1), ARMA(2,1) step by step, explained with colours. If something is not understandable, please write it in the comments below. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can find here everything what he talked about.

This summary provides the basis for unit roots. It contains an explanation of the unit root issues, transitory effects, permanent effect, random walk model (with drift), trend stationary process, how to solve the issues, de-trending, how to formally test for non-stationarity, Dikey-Fuller test, Augmented Dikey Fuller Test, and a real life example with step by step interpretation of the results table. This summary helps you go through material without watching again the lengthy web-lectures. I ...

Here you can find a summary of the ARCH models. Basically, in this document you can find everything that the prof. said in the class. It contains explanation of different types of volatility, the basic ARCH model, conditional variance, transformation of the model into ARMA model, volatility clustering, testing for ARCH effects, diagnostic of the model. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It ...

This summary provides the basis for the ARMA models. It contains an explanation of the autocorrelation, White Noise, Partial Autocorrelation, Moving Average Model, Stationarity of the time series, weakly stationary, covariance stationary, model selection criteria, and how to interpret the graphs. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because ...

Here are the exercises from Chapter 12 together with the solutions.

Here is a summary of the above models. The explanation is taken from the class. This summary contains everything what we talked about in terms of interpretation, estimation, and diagnostic checks. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can find here everything what he talked about.