Berkeley MFE, 2008

Syllabus-MFE.pdf

Lectures

Lecture 1—March 25, 2008

Lecture 1b—March 26, 2008

• Homework 1 (Due before April 1st, 2008)
• Portfolios_Formed_on_Size_Daily.zip needed for Homework 1
• lecture1_progs.zip—illustrative programs used in lecture 1 (zipped)
• Reading: Interesting Perspective on Econometrics
• Reading: Taylor Rule and Interest Rates--Part 1 — From The Economist
• Reading: Taylor Rule and Interest Rates—Part 2 — From The Economist

Lecture 2 and 2b—April 01 and 02, 2008

• Homework 2 (Due before April 7, 2008)
• Data for Homework 2
• Reading: Fama and French, JFE 1993
• Reading: Campbell et al, JF 2001
• Reading: Santa-Clara and Goyal, JF 2003
• Reading: Jagannathan and Wang, JF 1996

Lecture 3—April 08, 2008

• Homework 3 (Due before April 15, 2008)
• Data for Homework 3
• French, Schwert, and Stambaugh, JFE 1987 Article
• Richardson and Stock, JFE 1989 Article

Lecture 4—April 15 and 16, 2008

• Does Anything Beat a GARCH(1,1)?--Hansen and Lunde
• Some Like it Smooth and Some Like it Rough--Andersen, Bollerslev, Diebold
• There is a Risk-Return Tradeoff After All!--Ghysels, Santa-Clara, Valkanov

Lecture 5—April 22 and 23, 2008

• Homework 4 (Due before May 7, 2008)
• Data needed for Homework 4: data_daily_monthly.zip
• Spurious correlation code

Lecture 6—April 29 and 30, 2008

• KF Sample Problem Set (Not Due)
• Sample programs used in lecture 6

Lecture 7—May 06 and 07, 2008

Lecture 8—May 13, 2008

Benn's Notes

• Notes 1
• Notes 2
• Notes 3
• Notes 4

Readings for Research Projects (some links below this point are still NOT working...more to come)

1. Portfolio Choice
   • Brandt and Santa-Clara (2003)
   • Campbell, Lettau, Malkiel, Xu (2001)
   • Campbell and Ammer (1993)
   • Notes
2. Asset Pricing
   • Roll and Ross (1980)
   • Chen, Roll, and Ross (1986)
   • Roll (1984)
   • French, Schwert, and Stambaugh (1987)
   • Fama and French (Journal of Financial Economics, 1993)
   • Ghysels, Santa-Clara, Valkanov (2003)
3. Options
   • Dumas, Fleming, and Whaley (1995)
   • Dumas, Fleming, and Whaley (1998)
   • Hentschel (1995)
   • Ghysels, Santa-Clara, Valkanov (2003)
4. Interest Rates
   • Chan, Karolyi, Longstaff, Sanders (1992)

Sample Proposal

Proposal

Sample Research Papers

Sample 1 | Sample 2

Sample Final (Summer 2004)
Suggested Solutions to Sample Final 2004

Sample Final (Summer 2001)

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