Workbook for Financial Econometrics

Preface

This is a draft of an ongoing project to write a workbook for financial econometrics. Its primary use is for a 13-week course called ECOFMET or ECOF223 at the Carlos L. Tiu School of Economics. Some parts of the workbook may be used in similar courses at the graduate level if an instructor encounters extremely heterogeneous levels of student preparation.

This course has an introduction to econometrics (ECOMETR or ECON222) prerequisite, with ECOMETR or ECON222 having a probability and statistics prerequisite. In my experience, retention of material related to these subjects is tenuous and even if material is retained, student understanding of the material is equally tenuous. In addition, the presence of generative AI (in whatever shape or form) will soon place higher marginal value on the abilities to combine information from multiple sources, to verify disparate pieces of information, and to process one’s own knowledge and understanding according to rigorous standards. These are the reasons why I wrote this workbook.

From 2025-05-04 to 2025-08-06, an ongoing draft was maintained in Google Docs rather than in my preferred environment Quarto, in order to solicit tracked reader-specific feedback. In this version, I will use Quarto because there was not a lot of reader-specific feedback and it makes sense to integrate the use of R directly into the workbook.

The book is also arranged in the form of worksheet. There would likely be more material here than could be worked out during the course of 13 weeks.

If you have comments, suggestions, and objections, please reach out to Andrew Adrian Pua. Your help in improving the material found in the workbook is important for me as the instructor and of value to current and future students.