30188 - INTRODUCTORY FINANCIAL ECONOMETRICS
CLEAM - CLEF - CLEACC - BESS-CLES - BIEMF
Course taught in English
Go to class group/s: 31
- Brief review of probability and statistics.
- Introduction to Eviews.
- Linear regression model: basics and extensions. Application: CAPM.
- Univariate time-series modeling and forecasting. Application: ARMA modeling of asset prices.
- Multivariate models. Application: Using VAR to model the interaction between property returns and the macroeconomy.
- Modeling long-run relationships in finance. Application: Cointegrated VAR and long-run risk.
- Modeling volatility and correlation. Application: time-varying hedge ratios.
- the econometric methods introduced in class
- stylized facts about the data used in the empirical applications
- interpreting results of empirical studies in the area of finance (although the exam is not computer-based, there might be questions asking you to interpret regression results from EViews similar to the exercises in class)
Students are expected to have attended a core course in statistics and to be familiar with undergraduate calculus and linear algebra. Prior exposure to financial courses (financial markets and institutions, investments and corporate finance) would be useful to understand the applications covered in class.