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Financial Econometrics (GRAE018)

Course description

The goal of the course is to provide students with basic econometric tools for the analysis of time series data for Finance, including models for stationary and non-stationary data, univariate and multivariate analysis. The course aims to improve students understanding of the main principles and concepts of applied time series analysis, selection of adequate modelling technique for a problem at hand, estimation of the model and its application for the problems in Finance: predicting returns on risky assets, forecasting volatility of bond returns, modelling exchange rates and commodity prices, testing the models in real-time and many other problems.

Learning outcomes

Upon successful completion of this course, students will be able to:

  • Understand the key concepts and instruments of time series analysis, the role of time series models in financial econometrics.
  • Demonstrate the ability to carry out the econometric project including: data preparation and diagnostics, specification of econometric model, selection of the appropriate time series technique.
  • Present the model outcomes both at advanced and intuitive levels; interpret the estimation output from economic and statistical point of view.
  • Apply estimated econometric time series models for forecasting and policy analysis.
Syllabus
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