Financial Econometrics

Prerequisites
Basic knowledge of finance principles, statistics, probability and linear algebra.

Objectives
The aim of this course is to familiarize the student with some of the most popular econometric methods encountered in applied work in finance.

Description / Program

Building on the material acquired in a basic introductory course in econometrics, the aim of this course is to familiarize the student with some of the most popular econometric methods encountered in applied work in finance. After a brief review of the classical linear model, three major topics are considered:

• Linear Factor Pricing Model
• Likelihood Methods, with applications to ARCH and GARCH models

Emphasis is placed on the basic understanding of each approach with computer applications on real data.

Learning Method / Style of Lessons
Lectures ex-cathedra
Compliant with COVID-19 guidelines.

Exam Style
Final written exam

Requested Material
Teaching notes will be distributed during the course.

Readings/Textbooks

Suggested books:

• Linton, O. (2019), Financial Econometrics: Models and Methods, Cambridge University Press, Cambridge.
• Campbell, J., Lo, A., and A. Mackinlay (1997), The Econometrics of Financial Markets, Princeton University Press, Princeton, New Jersey.
• Greene, W. (2008), Econometric Analysis, 6th Edition, Prentice Hall, Upper Saddle River, New Jersey.
• Gourieroux, C. and J. Jasiak (2001), Financial Econometrics, Princeton University Press, Princeton, New Jersey.
• Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton, New Jersey.
• Hayashi, F. (1994), Econometrics, Princeton University Press, Princeton, New Jersey.
• Martin, V., Hurn, S., and D. Harris (2013), Econometric Modelling with Time Series, Themes in Modern Econometrics, Cambridge University Press, Cambridge.
• Tsay, R. (2005), Analysis of Financial Time Series, Wiley Series in Probability and Statistics, Hoboken, New Jersey.