Econometrics II

You can find here the correction to the erratum appearing in the notes entitled “An Example: GARCH(1,1) Process” concerning part of the ARMA(1,1) representation.

You can find here and here corrections and derivations related to the notes entitled “Notes on the EGARCH(1,1) Model”. Those concern typos, as well as an erratum found in part of the derivation of the auto-covariance of the squares. Specifically, in the case where κ=1, the derivation should take into account that the product is empty and thereby by convention equal to one.  

Note that whenever any of the above were met at the June exam papers, the grading of the relevant parts took into account in favour of the examinees, that they are not responsible for the reproduction of the erroneous parts of the derivations. Further typos and errata may remain in the notes. Please report any such typos and/or errata to stelios@aueb.gr or the course's e-class.