Financial Econometrics

Financial Econometrics

These are lecture notes for the teaching by Bernt Arne Ødegaard

Note that the notes below are "work in progress", they will be continously updated until the class time, so don't start wasting paper on printing them until the time for the class actually arrives.

Part 1: Toolchest

Part 2: Basic Econometrics

Part 3 Crossectional Asset Pricing

Event Studies

Time Series

SDF based asset pricing


Selected small topics that does not fit above, but should be known when doing financial econometrics

Data etc

The following are material less connected to the lectures, mostly possibilities for downloading some of the data


Formulas Extra lectures (Things we do not cover in class, but some may find interesting)