Case Studies

Some of the case studies use R, a free software environment for statistical computing and graphics. It compiles and runs on a wide variety of UNIX platforms, Windows and MacOS. For more information and to download the software, visit The R Project for Statistical Computing site .

LEC # TOPICS CASE STUDIES ASSOCIATED FILES
6 Regression Analysis Case Study 1: Linear Regression Models for Asset Pricing (PDF - 2.0MB)

R Instructions (TXT)

fm_casestudy_0_InstallOrLoadLibraries (R)

fm_casestudy_1_0 (R)

fm_casestudy_1_rcode (R)

Case Study 2: Linear Regression Models for Exchange Rate Regimes (PDF)

R Instructions (TXT)

fm_casestudy_0_InstallOrLoadLibraries (R)

fm_casestudy_fx_1 (R)

fm_casestudy_2_rcode (R)

fred_fxrates (TXT)

8 Time Series Analysis Case Study 3: Time Series Analysis of 10-Year U.S. Treasury Yields (PDF)  
9 Volatility Modeling Case Study 4: Volatility Modeling of Exchange Rate Returns (PDF - 1.8MB)  
11 Time Series Analysis II Case Study 5: VAR Models of Macro Economic Time Series (PDF)  
14 Portfolio Theory Case study 6: Portfolio Theory (PDF)

Case Study Plots: Simulation (PDF)

Case Study Plots: U.S. ETFS 2009-2013, Max Alloc 0.30 (PDF)

Case Study Plots: U.S. ETFS 2009-2013, Max Alloc 0.15 (PDF)

Case Study Plots: U.S. ETFs 2003-2006, Max Alloc 0.30 (PDF)

Case Study Plots: U.S. ETFs 2003-2006, Max Alloc 0.15 (PDF)

15 Factor Modeling Case Study 7: Factor Modeling of U.S. Treasury Yields (PDF - 3.3MB)  

Course Info

Learning Resource Types

theaters Lecture Videos
notes Lecture Notes
assignment Problem Sets
co_present Instructor Insights