Financial Econometrics

Prerequisites

Advanced Statistics.

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:

• 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.

Program:

1. Review of classic Regression
2. Estimating and testing linear factor models
3. ARCH and GARCH models
4. Ultra high frequency data

Learning Method / Style of Lessons

Lectures ex-cathedra

Exam Style
Written

Readings/Textbooks

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.