*Basic mathematical and statistical knowledge.
*Basic econometrics knowledge (linear regression model, robust inference).
*Basic knowledge in market finance : returns, volatility, prices, dividends
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
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)
