This set trains both halves of financial econometrics: the theory (derive the mean, variance, skewness and kurtosis of a uniform random variable; prove the law of iterated expectations) and the practice (given real Stata output for weekly US excess market returns, characterise the distribution and run the tests). Solutions are worked in full.
What these materials cover
- Moments of the standard uniform distribution, derived from the density
- Proof of the Law of Iterated Expectations
- Interpreting Stata summary output for weekly US market excess returns (2000–2021)
- Hypothesis tests on real returns data (2023 edition)
- Full worked solutions to the theory questions
Download
Free to download and use for personal study. Written for my own university teaching; shared here as evidence of teaching style and depth.
Problem set 1: distribution theory (2021/22 edition) (PDF) Full worked solutions (2021/22) (PDF) Problem set 1: stock returns & Stata output (2023/24 edition) (PDF)
Who this is for
MSc finance and financial econometrics students, and anyone who wants exam-style practice combining distribution theory with real data output.
Working on this topic?
Send the module topic list, the problem set and where you're stuck. A free consultation diagnoses whether the difficulty is definitions, derivations or software output — and proposes a plan.
Related free resources
- Financial Econometrics — all lecture slides & problem sets
- Distributions in econometrics — study note
- Confidence intervals and t-tests — study note
- All teaching materials — notes, exercises and solutions
One-to-one help
For help with this material — or the module it belongs to — see financial econometrics tuition or statistics tuition. The first consultation is free, with no obligation.
Free worked video lectures: @economaths on YouTube.