In recent years financial econometrics has become one of the most active areas or research in quantitative economics. This course start by reviewing
the basic time series techniques suitable to model returns on financial assets. Special attention will be paid to the modelling and forecasting of
volatility and risk. We will also cover topics related to the use of ultra-high frequency data and models for tick by tick transaction data.
Multivariate and factor models will also be introduced. Students will be instructed to apply the theory to real financial data with the statistical
software package R.
R. S. Tsay, "Analysis of Financial Time Series" Third Edition. JOHN WILEY & SONS, INC., PUBLICATION, 2010.
S.J. Taylor, "Asset Price Dynamics, Volatility, and Prediction", Princeton University Press, 2005.
Learning Objectives
Learn to identify problems and conduct simple empirical analysis with application of existing methodologies.
Prerequisites
Statistics, Finance.
Teaching Methods
Student are provided with some teaching material but are however encouraged to follow the classes presentation in which analytical results are derived.
Type of Assessment
Final empirical project presented by the students and illustrated to the colleagues