教你如何replicate数十篇金融学顶级论文的模型，值得收藏This course examines a variety of econometric methods for addressing substantively important questions in financial research. It builds on material presented by Jay Shanken in FIN 532. We will have one class meeting per week. Grading will be flexible � students will have input to determine what type of evaluation procedure will be used. There will be several homework problems assigned throughout the quarter. One of the homework assignments will involve replicating and extending some empirical results that are reported in some of the papers we are going to be discussing in class (or in another paper that we mutually agree on). Jay discussed material on CAPM tests, Bayesian methods, Mean Reversion, Macroeconomic Variables and Stock Returns, and APT tests. This course will cover related material on interest rates, inflation, time-varying conditional expected returns and volatility, and applications of econometric methods to financial problems (e.g., sample selection bias, GMM estimation, or GARCH models). Emphasis will be on the application of empirical methods to financial data.
The reading assignments will be announced in class and will more or less follow the sequence given below. You will be provided with copies of required readings (shown with an asterisk "*" below). I have included additional references, which are not required, for students who want more information on particular topics. These are not on reserve, but copies of these journals are available in the Management Library.
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