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Financial Econometrics

Description

Prerequisites
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

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

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

Exam Style
Final written exam. Bonus of 1.5 points if at least 70% of all group homework is solved correctly.

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.

People

 

Mancini L.

Course director

Ma H.

Assistant

Additional information

Semester
Fall
Academic year
2020-2021
ECTS
6
Language
English
Education
Master of Science in Economics in Finance, Core course, Minor in Banking and Finance, 1st year
Master of Science in Economics in Finance, Core course, Minor in Quantitative Finance, 1st year
Master of Science in Economics in Finance, Core course, Minor in Digital Finance, 1st year
Master of Science in Financial Technology and Computing, Core course, Lecture, 1st year