Research
Notes
Notes from over the years
More notes, related to Asset Pricing book, classes, and online class, are on the Asset Pricing page.
January 2012. This is a short note, showing how money demand estimation works very well in levels or long (4 year) differences, but not when you first-difference the data. It shows why we often want to run OLS with corrected standard errors rather than GLS or ML, and it cautions against the massive differencing, fixed effects and controls used in micro data. It's from a PhD class, but I thought the reminder worth a little standalone note.
Note covering dz, dt, stochastic integrals, and how to do all of Asset Pricing Chapter 1 in continuous time.
Foundations and Trends in Finance 6 (2011), 165-219. How to do ARMA models, opreator tricks, and Hansen-Sargent prediction formulas in continuous time.
Lecture notes for PhD time series course. This revision finally includes the figures!
May 2005. Some tips on how to write academic articles. Do as I say, not as I do. Chinese Translation, 2013. (Original source of chinese translation. Thanks to Shihe Fu)
Notes for MBA investments classes. Summary of background (statistics, regression, time series, matrices, maximization) and a concise treatment of some of the standard topics (bond notation and expectations hypothesis, bond pricing)
1993 Set of old lecture notes. Still, underground copies are circulating, so you can get a fresh one here.