Financial Econometrics (SFI)

Prerequisites

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.

Textbooks:

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.