Financial econometrics

The aim of the course is to introduce students to econometric models
that apply to finance and general economics. The material involves
stochastic processes such as ARMA, GARCH, EGARCH, and
heteroskedastic in Mean. Stochastic and deterministic non-stationarity
as well as cointegration are also examined. Part of the lesson is student
involvement with real data. All econometric exercises are held in the
laboratory.

By the end of this course you will be able to:
Understand the properties of financial returns
Formulate models and analyse the properties of models using
matrix notation
Understand the principles of autoregressive time series models
and evaluate their ability to forecast financial variables
Understand the principles of maximum likelihood, and use
maximum likelihood estimation and hypothesis testing
Understand ARCH and GARCH models and be able to apply
them to financial time series which display volatility clustering
and asymmetry
Estimate Vector Autoregressive (VAR) models and interpret the
results