Financial Econometrics I
FIN-604 / 3 credits
Teacher(s): Fuster Andreas, Jondeau Eric
Language: English
Remark: If you would like to attend this course, please send an email to: edfi@epfl.ch to register
Frequency
Every year
Summary
We provide a comprehensive overview of the econometric tools that are essential to estimate financial models, both for asset pricing and for corporate finance.
Content
Financial Econometrics - Time series
We focus on the empirical techniques used most often in the analysis of financial markets and how lhey are applied to actual market data.
We model different aspects of the distribution of asset returns: conditional mean, conditional volatility, conditional distribution. For this
purpose, we analyze several estimation techniques: Time Series Analysis, Maximum likelihood (ML), Quasi ML.
- Characteristics of Financial Time Series
- Modeling Volatility: GARCH Models
- Modeling Non-Normality
- Multivariate Models
Financial Econometrics - Panel data
This part of the course provides students with a toolbox of empirical methods used in corporate finance research. These methods include
panel data and various methods to deal with problems of endogeneity. Students will learn the economic intuition behind each method and
how to implement the methods on real data.
- Panel data
- lnstrumental Variables
- Difference-in-Differences
- Regression Discontinuity Design
Learning Outcomes:
- Understand and apply fundamental concepts in financial econometrics and panel data
- Learn how to use statistical software to analyze data for empirical research
- Develop a deeper understahding of and critical thinking about topics in financial econometrics and corporate finance research
- Acquire the knowledge and skills to design and carry out empirical research projects
Keywords
Times series, volatility, non-normality, panel data, endogeneity
Learning Prerequisites
Important concepts to start the course
Basics in statistics and econometrics
In the programs
- Exam form: Written (session free)
- Subject examined: Financial Econometrics I
- Lecture: 28 Hour(s)