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Financial Econometrics

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

By: Ayomide O
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Decks in this class (11)

Part 1 - Regression
Why do we include a disturbance term,
What is usually reported in brackets,
What is the formula for the test ...
9  cards
Part 2 - Regression
Explain with the use of equations...,
Do hypotheses tested concern the ...
2  cards
Part 2 - second
The f test involves estimating 2 ...,
Test statistic f test,
What is k
11  cards
Part 3
Assumptions classical linear regr...,
Consequences of ignoring autocorr...,
Causes of autocorrelation 2
13  cards
Part 3 - part 2
With bp white test and arch lm if...,
Arch lm assumption problem and so...,
Conditions which must be fulfille...
14  cards
Part 4
White noise,
Model selection would typically n...,
Which ic should be preferred if t...
3  cards
Part 6
Nonstationarity,
Deterministic trend whats its gra...,
Unit roots meaning
8  cards
Part 7
Cointegration meaning,
Engle granger approach drawbacks,
Ljung box tests calculate t stat
7  cards
Part 8
Volatility clustering,
Fat tails,
Leverage effects
12  cards
Part 6/7 Likely Qs
What classes of models are these ...,
What would the autocorrelation fu...,
By making a series of successive ...
5  cards
Part 3/4/5 Likely Qs
Explain with the use of equations...,
Will the value of a 2r 2 b adjust...,
Explain why it is not possible to...
4  cards

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Financial Econometrics

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