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

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