Topics in Financial Econometrics

Catalog description

The goal of this course is to introduce students to the Econometrics of Financial Markets, with 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, the student 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 course will prepare students for graduate school in Economics and Finance, or for a profession in the financial sector.