Topics in Financial Econometrics

Catalog description

This course will introduce you to the Econometrics of Financial Markets. We will focus on properties of financial data, risk management and portfolio allocation. Both methodological and empirical aspects will be covered. At the end of the course, you will be familiar with modelling and estimating volatility models, assessing Value at Risk of a portfolio, choosing among different asset price models, implementing trading rules. The project requirement gives you an opportunity to learn how to formulate a question of interest, formalize it in a hypothesis to test, and interpret your findings. Also, the recitations will make you a competent user of the R package. The course will prepare you either for a PhD program in Economics and Finance, or for a profession in the financial sector.