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October 30, 2009

fall assignment solution

I have posted the solution to the fall assignment. Thank you for all of your work. I will try to get them graded in the next week or so.

October 25, 2009

office hours transcript

Here is the contents of the chat window from tonight.

October 22, 2009

amendment to assignment Q1

I mentioned at the lecture yesterday that for our purposes you can ignore interest rates in the estimation of the market price of risk.

adjustment to assignment Q4

For the last question, since X1/X2 is singular when the conditioning event is {X2=0}, rather than plotting the conditional expectation of X1/X2, plot the two curves given by the conditional expectation of (X1, X2).

October 18, 2009

Amendment to assignment

For the third question on the fall assignment, you can assume that all of the variances are one.

October 14, 2009

Fall assignment

I have posted the fall assignment. It is due in two weeks on the Oct. 28 at 5:30 PM CT.

October 6, 2009

TGARCH materials for next week

For next week's project session, we will use the same dataset as for this week's exercise, weekly S&P 500 log total returns for five years through Oct. 5, 2009.
The primary reference for the asymmetric conditional heteroskedasticity model, by Jean-Michel Zakoian, is available through the University Library by following this DOI link.