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econometrics

  1. Nicole Seaman

    Carol Alexander | Market Risk Analysis, Practical Financial Econometrics (Volume II)

    Practical Financial Econometrics forms part two of the Market Risk Analysis four-volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration, and copulas...
  2. Nicole Seaman

    P2.T9.902. Big data techniques including machine learning (Varian)

    Learning objectives: Describe the issues unique to big datasets. Explain and assess different tools and techniques for manipulating and analyzing big data. Examine the areas for collaboration between econometrics and machine learning Questions: 902.1. About the analysis of big data, Hal Varian...
  3. P

    AUTOCORRELATION ERROR_INTERPRETATION

    I have a question on Autocorrelation of OLS model. So I encountered a autocorrelation error, and use Cochrane - Orcutt Two-step Procedure(CORC) to fix it. And my OLS became GLS. And I have no idea how to interpret the coefficient on my initial X and Y with the new model. I mean something like...
  4. Nicole Seaman

    P2.T9.802. Big Data: New Tricks for Econometrics by Hal Varian

    Learning objectives: Describe the issues unique to big datasets. Explain and assess different tools and techniques for manipulating and analyzing big data. Examine the areas for collaboration between econometrics and machine learning. Questions: 802.1. Below is Hal Varian's simple...
  5. Nicole Seaman

    FRM reading Chris Brooks: Introductory Econometrics for Finance 2016-09-28

    Chris Brooks, Introductory Econometrics for Finance, 2nd Edition Chapter 12 covers Simulation Methods, which is covered in the current FRM syllabus. You can purchase the more recent 3rd edition here on Amazon: http://amzn.to/2dDLVHM.
  6. V

    Econometrics

    1)In one of the practice questions (question 4.06 ) under Quantitative-Analysis_-Gujarati,-Chapters-1--8-Document-1-(L1.T2), it says under sufficiently large d.f., the t, the chi-square, and the F distributions all approach the unit normal distribution... Do they approach unit normal...
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