This is the course page for the 2019 edition of Econ 672 and Econ 872 at Duke University.
Overview
The course develops empirical tools for financial econometrics, ranging from jump processes and IV estimation to realized measures and forecasting.
Course Logistics
- Instructor: Guilherme Salome (office hours by appointment)
- Teaching Associate: Alfred Fan (office hours Wednesdays 11:30 am-1:00 pm, Social Sciences 228A)
- Schedule: Tuesdays and Thursdays, 11:45 am-1:00 pm
- Location: Social Sciences 124
Course Materials (2019)
Materials are listed in the original course sequence. The syllabus and data appear first, followed by lectures and projects.
- Syllabus - HTMLPDF
- Data - HTMLPDF
- LaTeX - PDF
- Git - HTMLPDF
- Jump Diffusion Processes - PDF
- Simulation - PDF
- Project 1 - PDF
- Estimating IV - PDF
- Project 2 - PDF
- Jump Returns - PDF
- Inference for IV - PDF
- Project 3 - PDF
- Realized Beta - PDF
- Project 4 - PDF
- Local Variance - PDF
- Jump Regression - PDF
- Midterm Exam - PDF
- Midterm Exam Solution - PDF
- Project 5 - PDF
- Forecasting Variance - PDF
- Project 6 - PDF
- Microstructure Noise - PDF
- Two-Scale Realized Variance - PDF
- Project 7 - PDF
- Installing Python - PDF
- Python Core Data Types - PDFNotebook (ZIP)
- Python Control Flow and IO - PDFNotebook (ZIP)
- Project 8 - PDF
- Python Numpy - PDFNotebook (ZIP)
- Black-Scholes Valuation - PDF
- Project 9 - PDF
- Pandas - PDF
- Final Exam - PDF