(81) DISTINCTION ECMT2130 Financial Econometrics Notes

Description

NEW 2025 NOTES – ECMT2130 Premium, high-quality notes compiled directly from lecture slides and key tutorial insights. Clearly structured and easy to follow, with all equations professionally formatted in LaTeX. Includes an exclusive bonus summary outlining key assumptions, statistical tests performed and the purpose of each - ideal for quick revision and exam preparation. Topics are organised to align closely with lectures and tutorials, making them easy to follow along throughout the semester. These notes helped me achieve a near-perfect mid-semester score (28/30) as well as full marks on the EFT and assignment. Hope they can help you excel! Covers topics below: 1. Introduction (returns & compound interest) 2. Probability and statistics for finance 3. Conditional expectation, covariance & basic portfolio theory 4. Empirical analysis of CAPM 5. Linear predictive regression 6. Inference in linear predictive regression 7. (midsem week) - no lecture 8. Testing joint hypothesis & robust inference 9. Robust inference & stochastic regressor 10. Stochastic regressors 2 & time series basics 11. Time series prediction and inference 12. Other topics on financial econometrics (volatility models, VaR)