QM_Reading_List

Reading List for Quantitative Methods for Finance

Topic PowerPoint Slide

Numbers

Reading from the textbook: page numbers

1: Introduction to Econometrics 1-14 1-14

2: Simple Regression Analysis 15-36 75-86

3: The Assumptions Underlying the CLRM and standard errors 37-47 90-98

4: Hypothesis Testing 48-73 98-110

5: Hypothesis Testing – Some Further Issues 74-76 110-111

6: Multiple Regression 77-85 134-139

7: The t-ratio 86-95 111-116

8: The Overreaction Hypothesis and the UK Stock Market 96-110 116-120

9: Testing Multiple Hypotheses 111-120 139-143, 150-151 10: Goodness of Fit Statistics 121-125 151-156 11: Hedonic Pricing Models and Tests of Non-nested Hypotheses 126-130 156-160 12: The Assumptions of the CLRM and Heteroscedasticity 131-140 179-186 13: Autocorrelation – Definitions and Testing 141-150 188-199 14: Autocorrelation – Solutions 151-158 199-206 15: The Problems of Multicollineartity and Inappropriate Functional Form 159-163 217-223 16: The Normality Assumption 164-169 209-217 17: Modelling Seasonality in Financial Markets 170-178 493-499 18: Using the Wrong Variables and Parameter Stability Tests 179-189 224-233 19: Approaches to Building Econometric Models 190-193 238-240 20: Determinants and Impacts of Sovereign Credit Ratings 194-204 240-248 21: Non-Stationary Data 205-216 353-361 22: Testing for Non-Stationarity 217-226 361-365 23: Cointegration 227-236 373-380 24: Modelling the Relationship between Spot and Futures Prices 237-248 380-386