[R-SIG-Finance] Financial Econometrics

[Hsiao-nan Cheung]

Maybe I should specify detailed contents of my class. It is CLRM's OLS, BLUE, Dummy Variables, Collinearity, Heteroscedasticity, Autocorrelation, IV, Dynamic Econometric Models and Simultaneous-Equations Models. What I need is relating them with financial application.

And the educational background of the students? Er, it's sure they all have solid mathematic basis, and most of them should be really quantitative MBAs. This is just a essential advanced econometrics lecture and they'll get a more deeper lesson on time series.

Again, thank you for your help.

> -----Original Message-----
> From: markleeds at verizon.net [mailto:markleeds at verizon.net]
> Sent: 2008年9月16日 14:03
> To: Hsiao-nan Cheung; ezivot at u.washington.edu
> Subject: RE: [R-SIG-Finance] Financial Econometrics
> 
> Hi:  I guess you'd call them a mixture ? if you are mostly teaching mba
> students, then hayashi is not applicable. tsay might be but only for
> REALLY QUANTITATIVE MBA's. Stephen Taylor's new book ( I can't remember
> the name ) might not be bad.  i have it but I haven't looked at it so
> carefully.
> 
> I'm not sure what you mean by econometrics in finance without time
> series ? Wooldridge covers cross sectional type stuff
> and panel data but not necessarily finance related ? Mckinlay and Lo is
> not all time series. Maybe you mean like generalized method of moments
> books with respect to finance problems ?  I think there's a book by
> Hall
> that covers GMM and it may have some financial
> applications in it ?
> 
> Maybe Eric can answer better because I'm not  sure what you mean and I
> don't  want to give you bad advice. I will cc eric here because  he is
> much more equipped to answer. because I'm not clear on what topics you
> are trying to cover.  Also, if it's mostly MBA's, then you are
> definitely more limited in the texts that you can use so I would be
> EXTREMELY careful in deciding on a text, regardless of the topics you
> are trying
> to cover.
> 
> 
> 
> 
> 
> 
> 
> On Tue, Sep 16, 2008 at  1:41 AM, Hsiao-nan Cheung wrote:
> 
> > Thanks, and are these book about traditional econometrics or time
> > series?
> >
> > Maybe it's just a illusion to find some econometrics on finance
> > without ts...
> >
> > HC
> >
> >> -----Original Message-----
> >> From: markleeds at verizon.net [mailto:markleeds at verizon.net]
> >> Sent: Monday, September 15, 2008 10:57 PM
> >> To: Hsiao-nan Cheung
> >> Subject: RE: [R-SIG-Finance] Financial Econometrics
> >>
> >> authors of texts  are below but i don't know the text names off the
> >> top
> >> of my head.
> >>
> >> tsay
> >> zivot and wang
> >> hayashi
> >> mckinlay & lo
> >> gueriorox and monfort
> >> stephen taylor  ( out of print )
> >>
> >>
> >> On Mon, Sep 15, 2008 at 10:03 AM, Hsiao-nan Cheung 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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