Economics 2411

Course Outline

Papers

Chan and Maheu (2002)
Bauwens et al. (2006)
Tse and Tsui (2002)
Engle (2002)
Andersen and Bollerslev (1998)

R Links:

R homepage
Econometrics in R, by G. V. Farnsworth
R Intro, by M. Arai

R Examples:

Example 1 , Data , Output
ARMA example , Data , Output
ARCH example , Data , Output
Simulate GARCH example
Compute RV and RCOV , Data
DCC , Data

Ox Links:

Ox homepage
Download Ox
Introduction to Ox

Ox Examples:

Example 1 , Data , Output
Example 2 , Output
ARCH(1) , Output
ARCH(1) with example of OLS
ARCH(p) , Output
Simulate a GARCH(1,1) Model , Output , ACF of absolute value of returns
Compute Integral Transform for GARCH(1,1) Model , Output
Constructing Monthly RV , Output

Plotting Program:

Gnuplot
Example command file , Data file , Output
Producing a postscript file , Figure

Assignments:

Assignment 1 , Data
Assignment 2 , Data
Assignment 3 , Data
Assignment 4 , Data

Data Links:

Pacific Exchange Rate Service
Financial Data Finder
Macro Stats and Data
The Quantitative Macroeconomics and Real Business Cycle Home Page
Resources for Economists on the Internet
EconWPA
NBER
FINWeb
NYSE
Nasdaq
AMEX
Yahoo Finance
Chass Data Center (CANSIM,DRI,OECD,CRSP and more)
Bank of Canada data
Canadian Economy Online
U.S Federal Reserve Bank data
Independent Electricity Market Operator (Ontario)
US Housing Statistics
More US Housing Statistics