18 August 2017
Financial Econometrics B - Topics in Financial Time Series Econometrics
This course introduces topics from research in financial time series econometrics. For each topic, the econometric methods are discussed and illustrated by empirical applications. Topics are selected from within: Econometric Modeling of Asset Returns: - Multivariate GARCH models with application to portfolio selection and value at risk (VaR). - Test of market efficiency: Asset return predictability.
Static and Dynamic Asset Pricing Models: - The capital asset pricing model (CAPM) and the asset pricing theory (APT) model. - Term structure models, including co-integration.
High-Frequency Modeling: - Continuous time methods - Autoregressive conditional duration (ACD), and integer valued financial time series models.
EUR 353: Guiding price for EU/EEA citizens. For additional information about the final price, please contact the department that offers the course in question.