Financial econometrics is a combination of statistical and mathematical theory and concepts. The objectives of these techniques are to solve problems in finance and to provide a better understanding of connections in economics. Therefore, financial time series analysis plays an important role in financial econometrics.
The purpose of this module is to broaden the students’ knowledge in econometrics and to introduce them to advanced topics in financial time series analysis. This module is designed to fill the gap between undergraduate courses in econometrics and the recent research and industrial needs in this field.
After the successful completion of this module the students should be able
To apply the techniques to replicate, to validate and to conduct empirical research.
a) To understand the main theories and concepts of financial econometrics,
b) To apply the models to real-world data,
c) To use statistical software in an appropriate way for financial time series analysis,
d) To understand critically recent research articles in financial econometrics
Lectures, In-class exercises, Computer labs