Notes: Carr and Wu (2009)

Pairwise scatterplot depicting the mean and standard deviation of the realized variance (v), variance swap rate (s) and log variance risk premium (ln[v/s]) for the 40 assets presented in Tables 2 and 3 of Carr and Wu (2009).

1. Introduction In this note, I outline the main results in Variance Risk Premiums (RFS, 2009) by Peter Carr and Liuren Wu for use in a 5min presentation in Prof. Sargent's reading group. Carr and Wu (2009) develops a method for quantifying the … [Continue reading]

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)

miracle

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]