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Teaching

Financial Econometrics

Undergraduate course materials covering asset returns, time series analysis, CAPM, factor models, cointegration, and volatility.

Materials

Lecture notes and slides

Syllabus
PDF
Introduction
PDF
Introduction Slides
PDF
Mathematical Foundations: Part I
PDF
Mathematical Foundations: Part II
PDF
The Predictability of Asset Returns: Part I
PDF
The Predictability of Asset Returns: Part I Slides
PDF
The Predictability of Asset Returns: Part II
PDF
Linear Time Series Analysis: Part I
PDF
Linear Time Series Analysis: Part II
PDF
The Capital Asset Pricing Model
PDF
Factor Models
PDF
Multivariate Time Series Analysis
PDF
Cointegration and the Error Correction Models
PDF
Time-Varying Volatility

Listed on the previous site, but the source PDF currently returns 404.

Note
Bibliography
PDF

Bo Hu

Visiting Assistant Professor in Economics, Indiana University