Financial Econometrics

Description

This course is designed as an introduction to empirical research in finance. The focus will be on the analysis of financial data as well as on applications of econometric methods to portfolio management, risk management and forecasting.

The main topics covered in the course are 

  1. Volatility measurement and modelling,
  2. Risk measurement and forecasting,
  3. Portfolio analysis,
  4. High-frequency finance,
  5. Systemic Risk

Prerequisites

    • Basic knowledge of Time Series Analysis

Introductory Literature

Campbell, J. Y., A. W. Lo and A. C. MacKinlay (1997): The Econometrics of Financial Markets, Princeton University Press.

Francq, C. and Zakoian J.M. (2011): GARCH models: structure, statistical inference and financial applications, Wiley. com
 
Gourieroux C. and J. Jasiak (2001): Financial Econometrics, Princeton University Press.
 
McNeil, A.J., R. Frey and P. Embrechts: Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press.

Tsay, R. S. (2005). Analysis of financial time series (Vol. 543). John Wiley & Sons.

Form of Assessment

Grading is based on the Final Exam (70%) and one Take Home Exam (30%).

Course Materials

The course material will be provided via ILIAS.