Unit 1: Statistical Properties of Financial Returns & Univariate Time Series and Applications to Finance
Asset Returns
A Foundation of Financial Econometrics Asset returns are fundamental to financial econometrics, r...
Discrete vs. Continuously Compounded Returns
A Comparison As discussed before, asset returns can be calculated in two primary ways: discrete (...
Numericals
Discrete vs. Continuously Compounded Returns Here are a few problems illustrating the concepts of...
Empirical Properties of Financial Returns
Financial returns exhibit several stylized facts, or empirical properties, that distinguish them...
Introduction to Univariate Time Series
A time series is a sequence of data points, measured typically at successive points in time or o...
Real life Example
Analyzing and Modeling a Stock's Daily Returns Suppose you have a time series of daily continuous...
Autoregressive (AR), Moving Average (MA), and ARMA Processes
These models are fundamental building blocks in time series analysis. They describe the evolutio...
Numerical Problem
Identifying and Estimating an ARMA Model Suppose you have the following sample autocorrelations (...
The Box-Jenkins Approach
A Methodology for Time Series Modeling The Box-Jenkins approach, also known as the ARIMA (Autoreg...