AC437 Financial Econometrics

This is another core module. The first part is taught together with the MSc Econ students, which covers classical econometric theory - linear regression, OLS, MME, MLE, GLS, IVE, hypothesis test framework, Wald, LR, LM, asymptotic theory. The second part focuses on applications to finance - random walk, event studies, CAPM, factor models, PV relations, volatility modelling, GMM.

The paper this morning was not too difficult, but I can kick myself now. I am embarassed to say that I got simple stuff wrong...calculation of power of a test! That's 10% gone! Shit happens. But I'm not the only duck, apparently many people got it wrong too. Other than that, I'll probably be penalised here and there for whatever reasons they might give. Hope I'll scrap through to get a distinction on this one, but not very confident either.

The next paper on Tue is gonna be a killer. The whole class is scared shit. And it happens to be the module I like most.