Coursebooks 2017-2018

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Financial Econometrics (EDFI)

FIN-602

Lecturer(s) :

Jondeau Eric

Language:

English

Frequency

Every year

Summary

Knowledge of the econometric tools that are essential to estimate financial models both for asset pricing and for forecasting purposes will be given. The course will focus on the empirical techniques most often used in the analysis of financial markets and how they are applied to actual market data.

Content

  1. Characteristics of Financial Time Series
  2. CAPM and Multi-Factor models
  3. Efficient Markets Hypothesis
  4. Modeling Volatility: GARCH Models
  5. Modeling Non-normality
  6. Multivariate Models

Assessment methods

Written exam.

Resources

Websites

In the programs

Reference week

 
      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