FinancialMarketAnalysis

2022학년도 2학기 금융시장계량분석 수업자료 및 jupyter notebook 자료입니다

Lecture Note

1. Introduction to Time Series
2. Linear Time Series
3. Multivariate Time Series
4. Volatility
5. Predictability
6. Capital Asset Pricing Model
7. Value at Risk
8. Kalman Filtering

Project

Behavioral Strategy on Korean Stock Market; Long Short Portfolio

Homework

1. Homework1 : Serial Correlation
2. Homework2 : Linear Time Series
3. Homework3 : Multivariate Time Series
4. Homework4 : Kalman Filtering
5. Homework5 : Conditional Heteroscedasticity