Financial Econometrics II
FIN-618 / 3 crédits
Enseignant(s): Kecht Valentin, Nikolov Boris
Langue: Anglais
Remark: To register, please contact edfi@epfl.ch. The timetable and location is available on the Google doc below under "Websites" (1 tab per term).
Frequency
Every year
Summary
The course aims to give students the tools to write academic papers and is divided into two parts. The first part covers microeconometric methods including panel data, IVs, difference-in-differences, and regression discontinuity design. The second part covers structural estimations methods.
Content
Financial Econometrics - Reduced-Form Methods
This part of the course provides students with a toolbox of empirical methods used in corporate finance research, with a focus on panel data and various strategies for addressing endogeneity. For each method, students will learn the underlying economic intuition and how to implement it in practice. The following will be covered:
1. Panel data
2. Instrumental Variables
3. Difference-in-Differences
4. Regression Discontinuity Design and Other Methods
Financial Econometrics - Structural Estimation
This part of the course seeks to achieve two objectives. First, it is intended to introduce students to structural estimation methods. Second, it is designed to expose students to the latest papers in the structural estimation literature in finance. More specifically, the following topics will be covered:
1. Simulated methods of moments, SMM.
2. Simulated maximum likelihood estimation, SMLE.
3. Empirical policy functions.
Assessment methods
- Problem Sets (on part 1): 10%
- Midterm exam (on part 1): 40%
- Report (on part 2): 50%
Dans les plans d'études
- Forme de l'examen: Ecrit (session libre)
- Matière examinée: Financial Econometrics II
- Cours: 24 Heure(s)
- Exercices: 40 Heure(s)
- Type: optionnel