Financial econometrics

Aims of the course

The students will strengthen the knowledge of econometrics with econometric models specific to finance.

Course syllabus

Review of statistivs and estimators
Testiing CAPM in multifactor models
Event studies
Time series analysis
Predicting asset returns
ARCH and GARCH models
Option pricing and estimation of countinous time processes

Course director(s)

  • Igor Masten, PhD, Full Professor

  • Academic Unit for Money and Finance (Regular Member)
  • Academic Unit for Mathematics, Statistics and Operations Research (Associate Member)
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  • Office Hours
  • Tuesday at 14:00 in RZ-205
 
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