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]
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]
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]
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]
1. Introduction In this post, I show how long run predictive regressions like the ones studied in Fama and French (1988) or Campbell (2003) can be understood using the wave function, a second order partial differential equation, rather than sums of … [Continue reading]