30188 - INTRODUCTORY FINANCIAL ECONOMETRICS
CLEAM - CLEF - CLEACC - BESS-CLES - WBB - BIEM
Course taught in English
Go to class group/s: 31
The objective of this course is to introduce the main econometric methods and techniques used in empirical finance. The emphasis is on applications rather than econometric theory. We use real financial data and the statistical package EViews to tackle interesting issues in finance. Class lectures are supplemented by computer lab sections. Students leave the course with a solid foundation in many of the tools used in modern financial time series and quantitative finance.
- Brief review of probability and statistics.
- Introduction to Eviews.
- Linear regression model: basics and extensions.
- Univariate time-series modeling and forecasting.
- Multivariate models.
- Modeling long-run relationships in finance.
- Modeling volatility and correlation.
- 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).
C. BROOKS, Introductory Econometrics for Finance, Cambridge University Press, 2008, second edition, (ch. 1-8).