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Financial Econometrics (SFI)


Mancini L.

Course director



Advanced Statistics.

Course description

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:

  • The Linear Factor Pricing Model
  • Likelihood Methods, with an application to ARCH and GARCH models
  • Ultra high frequency data
Emphasis is placed on the basic understanding of each approach, together with computer applications on real data.


J.Y. Campbell, A.W. Lo and A.C. Mackinlay, The Econometrics of Financial Markets, Princeton University Press, Princeton, 1997.
W.H. Greene, Econometric Analysis, Prentice-Hall International, 3rd ed., 1997.
C. Gourieroux and J. Jasiak, Financial Econometrics, Princeton University Press, Princeton, 2001.
J.D. Hamilton, Time Series Analysis, Princeton University Press, Princeton, 1994.