Financial econometrics

The lectures start with complementing basic statistical knowledge and are divided into two parts depending on the presence of temporal dependencies or not in the data. The studied statistical methods are illustrated via applications in economics and finance: Value at Risk, Expected Shortfall, portfolio selection, CAPM, APT, dynamic modelling of financial asset prices via ARMA, ARCH models and cointegration, etc. The analysed methods will cover parametric and nonparametric tools.

Develop concepts necessary to applications of econometrics in finance.

Ex Cathaedra lectures via slides and homework exercises with corrections.

References, bibliography, and recommended reading

Gouriéroux C., Scaillet O., et A. Szafarz (1997), « Econométrie de la finance : Analyses Historiques » , Economica, Paris. Gouriéroux C (1992), « Modèles ARCH et Applications Financières » , Economica, Paris.Gouriéroux C., et A. Monfort (1995) « Statistiques et Modèles Econométriques » , Vol. I et II, Economica, Paris. Gouriéroux C., et A. Monfort (1995) « Séries Temporelles et Modèles Dynamiques » , Economica, Paris. Gouriéroux C. (1989) « Econométrie des Variables Qualitatives » , Economica, Paris.Mills T. (1999) « The Econometric Modelling of Financial Time Series » , Cambridge University Press, Cambridge. Campbell J., Lo A. and A. McKinlay (1997) « The Econometrics of Financial Markets » , Princeton University Press, Princeton. Davidson R., and J. MacKinnon (1993) « Estimation and Inference in Econometrics » , Oxford University Press, Oxford. Hamilton J. (1994) « Time Series Analysis » , Princeton University Press, Princeton.

Method(s) of evaluation

• Other

Other