Coursebooks

Financial Econometrics I

FIN-604

Lecturer(s) :

Jondeau Eric
Valta Philip

Language:

English

Frequency

Every year

Remark

From September to December

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.

  1. Characteristics of Financial Time Series
  2. Modeling Volatility: GARCH Models
  3. Modeling Non-Normality
  4. 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.

  1. Panel data
  2. lnstrumental Variables
  3. Difference-in-Differences
  4. Regression Discontinuity Design and Matching Methods

 

Learning Outcomes:

Keywords

Times series, volatility, non-normality, panel data, endogeneity

Learning Prerequisites

Important concepts to start the course

Basics in statistics and econometrics

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