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Financial Econometrics

This class was created by Brainscape user Sophus Rosendahl. Visit their profile to learn more about the creator.

By: Sophus Rosendahl
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Decks in this class (7)

Cross Sectional
What are two requirements for lin...,
What are some important requireme...,
Derive the ols beta estimator
40  cards
Probability Theory
What is the markov assumption,
Define marginal distribution,
Marginal distribution
20  cards
Univariate Time-series
Define autocovariance,
Define covariance stationarity,
Define strict stationarity
30  cards
Volatility Models
What does evaluation of volatilit...,
What are typical variance proxies...,
What is a diebold mariano for vol...
22  cards
VaR
What does the risk metrics formul...,
State a general parametric condit...,
Which distributions can be used f...
44  cards
VAR and Cointegration
What are the consequences of incl...,
Explain the engle granger framework,
Write out a general form var p
29  cards
Multivariate Vol
What is pca,
Explain principal component covar...,
How does the 2006 riskmetrics dif...
17  cards

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Financial Econometrics

  • Class purpose General learning

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