Some of the case studies use R, a free software environment for statistical computing and graphics. It compiles and runs on a wide variety of UNIX platforms, Windows and MacOS. For more information and to download the software, visit The R Project for Statistical Computing site.
LEC # | TOPICS | CASE STUDIES | ASSOCIATED FILES |
---|---|---|---|
6 | Regression Analysis | Case Study 1: Linear Regression Models for Asset Pricing (PDF - 2.0MB) | |
Case Study 2: Linear Regression Models for Exchange Rate Regimes (PDF) | |||
8 | Time Series Analysis | Case Study 3: Time Series Analysis of 10-Year U.S. Treasury Yields (PDF) | |
9 | Volatility Modeling | Case Study 4: Volatility Modeling of Exchange Rate Returns (PDF - 1.8MB) | |
11 | Time Series Analysis II | Case Study 5: VAR Models of Macro Economic Time Series (PDF) | |
14 | Portfolio Theory | Case study 6: Portfolio Theory (PDF) |
Case Study Plots: Simulation (PDF) Case Study Plots: U.S. ETFS 2009-2013, Max Alloc 0.30 (PDF) Case Study Plots: U.S. ETFS 2009-2013, Max Alloc 0.15 (PDF) |
15 | Factor Modeling | Case Study 7: Factor Modeling of U.S. Treasury Yields (PDF - 3.3MB) |