Program and course objectives

Objectives of the course

This is an advanced course which aims at making students familiar with the most widely used techniques in Empirical Finance. More specifically, the purpose of the course is to introduce the students to a number of econometric techniques which have a direct application in empirical finance. Moreover, the students get hands-on experience analyzing financial data using the statistical software (MATLAB). The focus of the course is on application and practical implementations.

After following this course, students should be able to:

– Evaluate and reflect upon empirical studies using financial markets data.
– Apply econometric methods in analysing prices, returns and volatilities from financial markets.
– Generalise the results from empirical analyses to financial market theories.
– Adopt a computational tool (MATLAB) for the implementation of econometric methods for the analysis of financial time series.

Prerequisites:

The prerequisites are:

– Applied Statistics and Econometrics
– Econometric Theory
– MATLAB

 

Topics

1) The econometrics of univariate and multivariate time series models
2) Volatility modeling:
a) Univariate GARCH models
b) Multivariate GARCH models
3) The predictability of asset returns
4) Market Microstructure and ex-post volatility modeling
5) Event Study Analysis
6) Asset pricing models: theory and empirical validation (CAPM, APT, multifactor models, CCAPM)
7) Present value relations
8) Fixed income and term structure models

TA sessions

A number of TA sessions are activated. Students are warmly encouraged to  attend the TA sessions.  During the TA sessions, teaching assistant will provide a guided solutions to the exercises of a problem set assigned the week before. Each problem set are based on material already taught, and consist of applied exercises based on real data.  Problem sets will typically be posted about a week before the TA class. There will be no-evaluation of the exercises. My suggestion is to work in groups to solve the exercises.

Software

The mathematical/statistical software adopted in this course is MATLAB. If you need a copy of the software to be installed on your PC, please contact the Help desk.

Midterm Exam

There will be no mid-term exam.

Final Exam 

The final exam is written and it will based on the topics covered during the lectures and classes, the chapters of the textbook and all the materials assigned during the course.

Please keep in mind that from May 2015 onward, online registration is mandatory for all exams, and you will no longer have the option to get a last-minute permit from the Student Secretary instead.