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    Subhajit Basu
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    This document provides an agenda for a course on financial econometrics. It introduces concepts related to returns, including discrete returns, continuously compounded returns, and the properties of financial data. It discusses the central limit theorem and law of large numbers. It also outlines assumptions of the ordinary least squares model that will be covered in the course.

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    This document provides an agenda for a course on financial econometrics. It introduces concepts related to returns, including discrete returns, continuously compounded returns, and the properties of financial data. It discusses the central limit theorem and law of large numbers. It also outlines assumptions of the ordinary least squares model that will be covered in the course.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
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    Download as pptx, pdf, or txt
    9 views31 pages

    Session 1

    Uploaded by

    Subhajit Basu
    This document provides an agenda for a course on financial econometrics. It introduces concepts related to returns, including discrete returns, continuously compounded returns, and the properties of financial data. It discusses the central limit theorem and law of large numbers. It also outlines assumptions of the ordinary least squares model that will be covered in the course.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as pptx, pdf, or txt
    of 31

    Financial Econometrics

    Introduction to Linear and Non Linear models


    August 2023
    2

    Agenda today

    • Course Introduction

    • Return definitions

    • Empirical properties of returns

    • Revisit of some statistical concepts


    3

    Discrete Returns
    4
    5
    6
    7

    Continuously Compounded Returns


    8
    9
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    11
    12
    13
    14
    15
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    17
    18
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    20
    21
    22
    23
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    25
    26
    27
    28

    Properties of Financial Data


    29

    Central Limit Theorem


    30

    Law of Large Numbers


    31

    Assumptions of OLS model

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