Berkeley MFE, 2010
Lectures
Lecture 1—April 01, 2010
- Homework 1 (Due before April 8th, 2010)
- 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: Das and Sundaram (1999)
- Reading: White, Kim, and Manganelli (2008)
Lecture 2—April 08, 2010
- Homework 2 (Due before April 22, 2010)
- 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 15, 2010
Lecture 4—April 21, 2010
- 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 29, 2010
- Homework 3 (Due before May 13, 2010)
- Data needed for Homework 3: data_daily_monthly.zip
- Spurious correlation code
- Spurious correlation code
Lecture 6—May 06, 2010
- KF Sample Problem Set (Not Due)
- Sample programs used in lecture 6 (including simple GARCH(1,1))
- Simple GMM estimation of an interest rate model, similar to Chan et al (2001)
Lecture 7—May 13, 2010
Readings for Research Projects (some links below this point are still NOT working...more to come)
- Portfolio Choice
- Brandt and Santa-Clara (2003)
- Campbell, Lettau, Malkiel, Xu (2001)
- Campbell and Ammer (1993)
- Notes
- 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)
- Options
- Dumas, Fleming, and Whaley (1995)
- Dumas, Fleming, and Whaley (1998)
- Hentschel (1995)
- Ghysels, Santa-Clara, Valkanov (2003)
- Interest Rates
Sample Proposal
Sample Research Papers
Sample Final (Summer 2004)
Suggested Solutions to Sample Final 2004