NEW (2025) ECMT2130 Financial Econometrics - DISTINCTION high quality full course notes

Description

Quality concise notes sourced with information from lecture slides and key tutorial ideas. Perfectly formatted with equations written in LaTeX. Includes bonus short summary of assumptions and tests carried out (and their purposes). 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)