Financial Econometrics II
FIN-618 / 3 credits
Teacher(s): Fuster Andreas, Nikolov Boris
Language: English
Remark: If you would like to register for this course or access the dates of the course, please send an email to: edfi@epfl.ch
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 - Cross-Section and 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. The following will be discussed:
1. Panel data
2. lnstrumental Variables
3. Difference-in-Differences
4. Regression Discontinuity Design
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
- Homeworks (on part 1): 25%
- Midterm exam (on part 1): 25%
- Report (on part 2): 50%
In the programs
- Exam form: Written (session free)
- Subject examined: Financial Econometrics II
- Lecture: 24 Hour(s)
- Exercises: 40 Hour(s)
- Type: optional