I have written the shell of a MATLAB script to get you started on the fall assignment.

Here is the code for today's MLE case.

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).

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.

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.

I posted my discussion notes from out case about conditional expectation, including the observation about the connection with OLS regression.

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.