Financial Econometrics

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Financial Econometrics
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Course Description: 
Track course
Financial Engineering

Financial econometrics is essentially a set of mathematical tools and techniques derived from both Probability Theory and Statistics, with aim to study important problems of Finance. These problems, which are mainly of quantitative nature, have their origins the modeling of the dynamic behavior of financial variables, modeling, and risk management. The course is designed to equip students of the Financial Engineering track with basic knowledge of financial time series analysis which is necessary in order to analyze and study financial data. More precisely, after the introduction of some basic concepts (autocorrelation, partial autocorrelation, stationarity), the family of ARIMA models is presented, within the framework of Box-Jenkins. Special emphasis is given to the choice and estimation of such models, with the ultimate purpose being forecasting. The course is  concluded with the subject of modeling the volatility of returns with the family of ARCH/GARCH models.


Every Lecture is supplemented with applications in R with real-world data.



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