Financial Econometrics (MSFE)

Term 2, 2016-2017

Jun YU, Professor of Economics and Finance

SESS Building #5055

Tel: 6828-0858

Email: yujun@smu.edu.sg

· Course Outline

· Unpublished book (Part 1) by Hurn, Martin, Phillips and Yu (Revised version of Part 1)

· Unpublished book (Chapter 11 and Chapter 12) by Hurn, Martin, Phillips and Yu

· Factor Models (Part A and Part B, yields_us.wf1, yields_us_loading.wf1)

· Assignment 1 (due on Feb 8, Eviews workfiles: zero.wf1, camp.wf1, hour.wf1)

· Assignment 2 (due on Feb 22)

· Assignment 3 (due on April 19)

· Sample Questions for the final exam

Link: Jun Yu's homepage