News
Our Degree Programs
Establishment
Language of instruction
English
Teaching content
FINANCE
This course occurs in the following program(s)
IESEG Degree - Programme Grande École
- Crédits ECTS: 2.00
Training officer(s)
D.ERDEMLIOGLU, P.ZIMMERMANN
Stakeholder(s)
Deniz ERDEMLIOGLU, Paul ZIMMERMANN
Présentation
Prerequisite
*Basic mathematical and statistical knowledge.
*Basic econometrics knowledge (linear regression model, robust inference).
*Basic knowledge in market finance : returns, volatility, prices, dividends
*Basic econometrics knowledge (linear regression model, robust inference).
*Basic knowledge in market finance : returns, volatility, prices, dividends
Goal
At the end of the course, the student should be able to:
- Select the appropriate econometric estimation techniques when dealing with financial data time series
- Interpret econometric estimation and testing outcomes using real-world case studies and financial data
- Use the R econometrics package to produce original econometric estimation outcomes
- Select the appropriate econometric estimation techniques when dealing with financial data time series
- Interpret econometric estimation and testing outcomes using real-world case studies and financial data
- Use the R econometrics package to produce original econometric estimation outcomes
Presentation
Chapter 1. Introduction to financial data time series. Review of the classical linear regression model and robust inference.
Chapter 2. Market Efficiency. Tests of the Efficient Market Hypothesis.
Chapter 3. ARMA models; unit root tests.
Chapter 4. Co-integration. Application to price-dividend co-integration.
Chapter 5. Volatility modelling (naïve estimators of volatility, ARCH/GARCH models). Chapter 6. Econometric estimation of Risk Measures (VaR, Expectd shortfall)
Chapter 2. Market Efficiency. Tests of the Efficient Market Hypothesis.
Chapter 3. ARMA models; unit root tests.
Chapter 4. Co-integration. Application to price-dividend co-integration.
Chapter 5. Volatility modelling (naïve estimators of volatility, ARCH/GARCH models). Chapter 6. Econometric estimation of Risk Measures (VaR, Expectd shortfall)
Modalités
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 16,00 | Interactive sessions with real-world examples based on financial data and case studies illustrated with the R econometrics package. | |
| Travail personnel | |||
| Group Project | 10,00 | One group project on a market finance case study based on financial data (from Bloomberg/REUTERS) with the use of R econometrics package. | |
| Charge de travail personnel indicative | 24,00 | Needed to cover all topics carefully. This is not an Introductory-level course and hence the level of the course is relatively "advanced" at the Master-level. The students are hence strongly encouraged to study hard to help achieve the course objectives. | |
| Overall student workload | 50,00 | ||
Evaluation
Group project + written final exam.
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Examen (final) | |||
| Examen écrit | 2,00 | 1 | 60,00 |
| Autres | |||
| Projet Collectif | 4,00 | 1 | 40,00 |
| TOTAL | 100,00 | ||
Ressources
Bibliography
Brooks, C. (2014). Introductory Econometrics for Finance, 3rd Edition, Cambridge University Press. -
Wooldridge, J. (2012). Introductory Econometrics : A Modern Approach, 5th Edition, South-Western. -
Greene, W.H. (2011). Econometric Analysis : International Edition, Pearson Education. -
Cryer, J.D., and Kung-Sik, C. (2008). Time Series Analysis With Applications in R, 2nd Edition, Springer Texts in Statistics, Springer. -
Campbell, J.Y., Lo, A.W., and MacKinlay, A.C. (1997). The Econometrics of Financial Markets, Princeton University Press. (recommended) -
Shiller, R.J. (2015). Irrational Exuberance, Princeton University Press. (recommended) -
Wooldridge, J. (2012). Introductory Econometrics : A Modern Approach, 5th Edition, South-Western. -
Greene, W.H. (2011). Econometric Analysis : International Edition, Pearson Education. -
Cryer, J.D., and Kung-Sik, C. (2008). Time Series Analysis With Applications in R, 2nd Edition, Springer Texts in Statistics, Springer. -
Campbell, J.Y., Lo, A.W., and MacKinlay, A.C. (1997). The Econometrics of Financial Markets, Princeton University Press. (recommended) -
Shiller, R.J. (2015). Irrational Exuberance, Princeton University Press. (recommended) -
Internet resources
IESEG online
School intranet (course website) will be used during the lectures for submitting online documents/tutorials, supplementary exercises and analysis. Therefore, students are expected to visit the course website frequently throughout the lectures.