Applied Financial Econometrics (2024-2025)

• The class outline for 2025 (pdf) and here (html)
• The Regression Models (pdf)

• A bad day on Wall Street
• Estimating and Testing the Capital Asset Pricing Model
• Explaining house prices
• The OLS estimator can be biased but consistent: a little experiment
• The determinants of the stock return by ML

• djia_daily.dta
• gasoline.txt
• executive.data
• interestrates.data
• capm.data
• ext_capm.data
• hprice.data
• cbi.data
• bnews.data
• lrun.data
• fulton.data
• spi.data
• spread.data
• binary.data
• newcars.txt
• food.data
• liquor.txt
• okun.txt