Financial Econometrics

COURSE OBJECTIVE
This course introduces students to advanced models and econometric methods in financial econometrics. By the end of this course, participants will:
(1) know how to design, code, estimate and analyze time-varying parameter models used in Finance;
(2) understand the interplay between econometric techniques and modeling assumptions;
(3) have used computational methods to solve econometric exercises;
(4) know how to estimate parameters of structural models using simulation-based estimators;
(5) have gained experience in working with real data.

Participation in this course is a worthwhile preparation for the master courses in the MSc Econometrics program. The econometric techniques discussed will also be beneficial to everyone planning to write a Bachelor's thesis in Financial Econometrics.

COURSE CONTENT
This course covers both theoretical and practical aspects of modern econometric models that are used by financial institutions, investment banks, central banks, governments, think tanks, and other research institutes.

The students are introduced to models in Finance that feature nonlinearities, time-varying parameters and latent variables. In particular, the students learn how to design, implement, estimate and analyze both observation-driven and parameter-driven models.

This course further shows how to use simulation based methods and indirect inference for estimating the parameters of structural models in finance that feature latent variables.

Finally, from a practical perspective, the students also learn how to use these models in Finance to calculate important risk measures and design optimal portfolios.

TEACHING METHODS
Lectures, tutorials and practical computer-lab classes.

TYPE OF ASSESSMENT
Final exam and group assignment – Individual assessment

RECOMMENDED BACKGROUND KNOWLEDGE
This course builds on introductory time-series concepts. Attending courses such as "Introduction to Time-Series" in the minor of Applied Econometrics, or the third-year Bachelor course "Econometrics III", is not required, but certainly provides an adequate background knowledge.

TARGET AUDIENCE
This course is targeted at both econometrics and non-econometrics students that have an understanding of basic mathematics, probability, statistics and time-series analysis

RECOMMENDED BACKGROUND KNOWLEDGE
This course builds on introductory time-series concepts. Attending courses such as "Introduction to Time-Series" in the minor of Applied Econometrics, or the third-year Bachelor course "Econometrics III", is not required, but certainly provides an adequate background knowledge.

This course is targeted at both econometrics and non-econometrics students that have an understanding of basic mathematics, probability, statistics and time-series analysis.