Finance Seminar in Finance Econometrics
Course Description and Syllabus.
Notes to accompany Block 1.
Spot and Forward Rates - Simulated. Posted on 1-25-02.
Simulated Data for Type I Tobit Model. Posted on 3-27-09.
Sample fortran code for GARCH likelihood.
Sample fortran code to compute numerical efficiency of Gibbs Draws.
Ascii file containing yield data (ask yields and terms to maturity used in Lamoureux and Witte).
f0rtran code to estimate Newey-West Variance-Covariance Matrix with Andrews' method for optimal lag length.
Data Set 1 For Bayesian Analysis.
Data Set 2 For Bayesian Analysis.
Stochastic Volatility Data:
Return Data Set (April 19, 2002).
Data Set Two.
Static Discrete Choice Data:
Data Set 1 (April 30, 2002).
Data Set 2 (May 10, 2002).
Description and format statements for Data Sets.
