Vrije Universiteit Amsterdam (VU) • Msc Finance

Here are the notes from the ARMA Model Lab session. The document includes all the steps with the explanation attached. There are 8 steps. 1 - Looking to the data, 2 - Looking at the autocorrelation plot, 3 - Estimate ARMA models, 4 - Construct residuals and check if there is autocorrelation, 5 - Construct the fit of the model with the test for homoscedasticity and the log of the VIX, 6 - Forecasting, 7 - Checking the forecast model with explanation of unbiasedness, accuracy, and efficiency, 8 -...

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.

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

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

This is just a short summary from the article.

This is an extensive summary. In this summary you can find a sentence or two about each graph and figure based on the authors conclusion. I took just what was important to know about the article. Section II is not considered.

This is an extensive summary. In this summary you can find a sentence or two about each graph and figure based on the authors conclusion. I took just what was important to know about the article. Section V is not included.

Noise Trader Risk summary provided in the class

Fama 1992 - The cross section of expected returns

Fama - Macbeth - Risk, Return, and Equilibrium, Empirical Tests summary