Economics 872
Topics in Quantitative Finance
Instructor:
James MacKinnon
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Office: MC A423
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Office Hours:
There are no specific office hours. If you want an appointment, send me an
e-mail. When my door is open, which it usually is, you should feel free to
interrupt me.
- E-mail:
jgm@qed.econ.queensu.ca
Teaching Assistant: Junfeng Qiu
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Office: MC B506
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Office Hours: Wednesday, 12:30 to 2:00 PM.
Classes: Mac-Corry D405. Tuesday, 10:00-12:00; Thursday, 10:00-12:00.
First class: May 7, 2002. Last class: June 27, 2002. Because of the CEA
Annual Meeting, there will be no class on May 30, 2002.
Economics 872 is a course in econometric methods applied to financial
economics. It will cover a broad range of topics. The principal text for
the course is
- John Campbell, Andrew Lo, and Craig MacKinlay (1997). The Econometrics
of Financial Markets, Princeton University Press.
Other references include
- Philip Hans Franses and Dick van Dijk (2000). Nonlinear Time
Series Models in Empirical Finance, Cambridge University Press.
- Christian Gourieroux and Joann Jasiak (2001). Financial
Econometrics, Princeton University Press.
- Philippe Jorion (2000). Value at Risk: the New Benchmark for
Controlling Market Risk (Second Edition), McGraw-Hill.
- Terence C. Mills (1999). The Econometric Modelling of Financial Time
Series, Cambridge University Press.
The assignments may use
data
that are available here.
Note that some files may be gzipped. These files, which will have the
extension ".gz", can be read
using zless or zmore. They can also be piped to another file
or program using zcat, and copies of them can be expanded
in place using gunzip.
CRSP data may be obtained by using the get-crsp program on
edith. Students will need an account on edith to do this.
An easier approach, which only works from a Queen's IP address, is to use the
CRSP Database at the
University of Toronto.
Exchange rate data may be obtained from the
Pacific Exchange Rate
Service.
I hope to provide
lecture
notes in PDF format.
These may or may not be available prior to the lectures, and they may be
updated afterwards. Some
working
papers in PDF format may be available.
The final grade for the course will be based on two things: a final
examination, to be given during the week of July 8, and an empirical
project, which will be due before July 26. Each will be worth 50% of the
final mark. There will also be some empirical assignments, but they will
not be graded.
Students will have to decide what software to use.
A few
sample programs may be made available.
For more information about some of the popular software packages used in
econometrics, follow the appropriate links in the following list:
-
TSP - Home Page of TSP
International
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Shazam - Shazam Home Page
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RATS - Web Site of Estima
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STATA - STATA Home Page
[Go to Department of Economics home page]
[Go to Queen's University home page]
Last updated April 24, 2002.