October 30, 2011
October 18, 2011
assistance with the fall assignment
I have written the shell of a MATLAB script to get you started on the fall assignment.
October 12, 2011
MLE case
Here is the code for today's MLE case.
October 7, 2011
reading for Oct. 12
Please remember to read the paper before our next session on 10/12:
Measuring and Testing the Impact of News on Volatility, Robert F. Engle and Victor K. Ng, The Journal of Finance, Vol. 48, No. 5 (Dec., 1993) (pp. 1749-1778).
October 6, 2011
new posts; TA hours
I have posted the discussion of the "sqrt-rule" for scaling invariants.
I have also updated the syllabus to indicate Nick's new office hours 7-8:30 on Mondays.
September 22, 2011
Pareto tail
Below is more general Pareto characterization of the left tail of a random variable.
Two of the new parameters come from the affine transformation (shift and scale), while the theta represents the parameter of the Bernoulli mixing variable.
conditioning and regression
I posted my discussion notes from out case about conditional expectation, including the observation about the connection with OLS regression.
September 13, 2011
A different format of the link below
September 11, 2011
second try for embedded PDF...
September 9, 2011
hint for demonstration on mixtures
September 7, 2011
Welcome to John's class blog
I will use this forum for annoncements, and you are welcome to use it for public feedback. I encourage you to check it often. You may want to add it to your RSS feed.
March 2, 2011
final project
Thanks for your project submissions. I have posted a version of my solution on the class website if you are interested.
January 5, 2011
first FM5032 session
Welcome back from the break! I am your instructor for the first six weeks of FM5032. I will be in town for our first formal session on Sunday, January 23; but I would like to hold a UMConnect session at 5:30 PM on Wenesday, January 19 to discuss the final and provide a preview for the second half. Our TA will host this session in MechE018 Physics (Tate) 131 if you would like to attend in person.
November 29, 2010
final and review session
The final for FM5031 will be on Wednesday, December 22. I will be holding a review session for my module on Sunday, December 12, at 2:00 PM in Ford Hall B10. The final is worth 25% of my module's grade.
October 18, 2010
GARCH notes typo
I discovered a typo in the notes on GARCH from last week. In the expression for the unconditional variance, the γ should be γ2. The difference should not affect your homework results too much; but if you have time to re-do it with a more correct expression for ω, please do so.
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