Notes: Hassan and Mertens (2011)

1. Introduction In this note, I outline the main results in Hassan and Mertens (2011)[1. See Tarek Hassan and Thomas Mertens] for use in a 5min presentation in Prof. Sargent's reading group. This paper asks the question: "Suppose that you air … [Continue reading]

Notes: Budish (2011)


1. Introduction In this note, I outline the results in Budish (2011)[1. Website: Eric Budish at Chicago Booth.] for a presentation in Prof. Sargent's reading group. Here are the slides themselves. This paper introduces a new concept for clearing … [Continue reading]

Financial Econometrics Software

Adjusted close for BNP Paribas from 2003 to 2011.

1. Introduction In this note I outline the basic facts and rules of thumb about financial econometric software that is relevant for Rob Engle's Fall 2011 Financial Econometrics (2) PhD course.[1. As always, the usual disclaimer applies: these are my … [Continue reading]