[R-SIG-Finance] Financial Econometrics

[Hsiao-nan Cheung]

My students are mainly MBA students, and partially PhDs. The course title is 'Advanced Econometrics'. Although economic examples are okay, I prefer some examples on finance since this is their major. Next year they'll take a lecture named 'Time Series Analysis', so in this class there is less contents about TS.

> -----Original Message-----
> From: Eric Zivot [mailto:ezivot at u.washington.edu]
> Sent: Tuesday, September 16, 2008 2:27 AM
> To: 'Hsiao-nan Cheung'
> Cc: 'R-SIG-FINANCE'
> Subject: RE: [R-SIG-Finance] Financial Econometrics
> 
> Depends on the level of your students. Are these Phd students, MBA
> students,
> undergrads, in the US or outside? What is the course title? Without
> this
> information, any recommendation is essentially useless.
> 
> There are many excellent Phd level books and a few good applied books
> for
> MBA students and advanced undergrads.
> 
> -----Original Message-----
> From: r-sig-finance-bounces at stat.math.ethz.ch
> [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Gabor
> Grothendieck
> Sent: Monday, September 15, 2008 7:45 AM
> To: Hsiao-nan Cheung
> Cc: R-SIG-FINANCE
> Subject: Re: [R-SIG-Finance] Financial Econometrics
> 
> Check out the FinTS package on CRAN (and associated book).
> 
> On Mon, Sep 15, 2008 at 10:03 AM, Hsiao-nan Cheung
> <niheaven at hotmail.com>
> wrote:
> > Hi,
> >
> >
> >
> > I¡¯ll be a assistant professor on econometrics in the following term.
> > Since the students are mainly of dept. of finance, my professor want
> > the teaching materials be about finance and not about macroeconomics.
> > Is there any good books about financial econometrics (not something
> > about time series analysis)? Something by examples is the best.
> >
> >
> >
> > Thanks
> >
> >
> >
> > Hsiao-nan Cheung
> >
> >
> >
> >
> >
> >
> >        [[alternative HTML version deleted]]
> >
> >
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