Pós Graduação

ECOP 82 – Capital Markets
The course covers topics related to capital markets, including investors’ attitudes toward risk, portfolio selection, asset pricing models (Capital Asset Pricing Model and Arbitrage Pricing Theory), term structure models, derivative pricing, the efficient market hypothesis, fixed income markets, and options and futures markets.
Syllabus

Link to bibliography.
Link to yield curve bibliography.

ECOP 90 – Estatística Computacional
Link
to data set.

ECOP 27 – Teoria Macroeconômica II
No curso de Macro II, nos preocuparemos principalmente com modelos novo-Keynesianos (DSGE). O objetivo deste curso é prover os alunos com o ferramental básico para entender e desenvolver modelos macroeconômicos similares aos usados pela grande maioria dos bancos centrais e institutos de pesquisa mundo a fora. Ao final do curso, espera-se que os alunos estejam aptos a desenvolver modelos DSGE e a utilizar o Dynare para solução numérica destes modelos.
Link
bibliografia

Econometric Matlab and R Code

Kevin Sheppard provides Toolbox for time-series and volatility modeling (univariate and multivariate models), visit MFE Toolbox.
Jouchi Nakajima provides MATLAB and R code for estimating various stochastic volatility models, including a TVP-VAR with SV.
Pinho J. Ribeiro provides code for exchange rate forecasting using time-varying parameter models. visit Pinho’s webpage.
Joshua C.C. Chan provides code for his papers, estimating various models with time variation and stochastic volatility; visit Josh’s webpage.
Haroon Mumtaz provides useful demo code for Bayesian vector autoregressions; visit Haroon’s webpage.

Link to Matlab introduction.