This is some of the material I covered last year for my course of "Financial Econometrics" at the Queen Mary, University of London. Topics are the following:
The syllabus contains:
- Random variables and expectations
- Estimation, inference and hypothesis testing
- Regression analysis
- Univariate time series analysis
- Univariate volatility modeling
- Value-at-Risk and Expected Shortfall
- Multivariate volatility modeling and correlations
The material include slides and some Matlab codes for the tutorials. This is material for a graduate level module, so an undergraduate degree is useful.
Hope you will find this useful
Daniele