Coursebooks 2017-2018

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Financial econometrics

FIN-407

Lecturer(s) :

Pelgrin Florian

Language:

English

Summary

The objective of this course is to present and study some topics of financial econometrics, and to apply the corresponding techniques and concepts.

Content

1. Introduction: Describing financial time series

2. Overview of estimation techniques and applications

3. An introduction to financial time series analysis:

4. Multivariate time series analysis

 5. Modeling volatility 

 6. Multivariate GARCH models and Dynamic (conditional) correlation models

 7. Forecasting volatility

 8. Risk management

 

Keywords

Econometrics Empirical finance

Learning Prerequisites

Required courses

Econometrics

Introduction to finance

Recommended courses

Stochastic calculus

Important concepts to start the course

In order to follow this course the student needs to have taken an introduction to finance as well as an introduction to econometrics. Some foundations in stochastic calculus and portfolio allocation could be useful for certain lectures.

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Lectures and exercise sessions

Expected student activities

Assessment methods

- Project (50% - 60%)

- Final exam (40% - 50%)

Supervision

Office hours Yes
Assistants Yes
Forum No

Resources

Bibliography

C. Alexander, Market risk analysis, volumes 1 and 2, Wiley,  2008.

Campbell, J.,Y., A.W.  Lo and A.C. MacKinlay, The Econometrics of financial markets, Princeton University Press, 1997.

Jondeau, E., S-H. Poon, and M. Rockinger, Financial modeling under non-normality, Springer Verlag, 2006.

R.S. Tsay, Analysis of financial time series, Wiley, 2005.

Other references will be provided for each lecture.

Ressources en bibliothèque

Prerequisite for

In the programs

Reference week

 MoTuWeThFr
8-9     
9-10     
10-11     
11-12     
12-13     
13-14     
14-15     
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22     
Under construction
 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German