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Empirical Methods in Finance

  • Teacher(s):   F.Ielpo  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Spring Semester 2020-2021, 4.0h. course + 2.0h exercices (weekly average)
  •  sessions
  • site web du cours course website
  • Related programmes:
    Master of Science (MSc) in Finance, Orientation Asset and Risk Management

    Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science

    Master of Science (MSc) in Finance, Orientation Corporate Finance
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Objectives

The aim of the course is to provide a comprehensive knowledge of the econometric tools that are essential to estimate financial models, for asset pricing, asset management, or risk management. We focus on the empirical techniques used most often in the analysis of financial markets and how they are applied to actual market data. The class will try to give a solid balance between the necessary academic knowledge and hands-on applications.

Contents

We aim at treating the following topics. However, given the available time, not all topics may be covered:

[1] Univariate Time Series Analysis

[2] Multivariate Time Series Analysis

[3] Factor Models

[4] Modeling volatility

[5] Modeling non-normality

[6] Modeling correlation

References

Jondeau, E., S.-H. Poon, and M. Rockinger (2006), Financial Modeling Under Non-Normality, Springer Finance. It is an advanced text book for both parts of course.

Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press. Covers topics in the first part of the course.

Pre-requisites

Data Science for Finance

Evaluation

First attempt

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Allowed
Evaluation:

Homework: Homework will typically consist in the implementation of the techniques studied during the lectures. This will give rise to group work that will be graded (HG).

Final Examination: The final exam will be an online exam. We call this grade FEG.

The overall grade will be given by the formula

60%*HG + 40%*FEG.

Retake

Exam:
Oral 0h20 minutes
Documentation:
Not allowed
Calculator:
Not allowed
Evaluation:

If you need to retake the exam, the grade will be simply based on the make-up exam, i.e. the homework no longer counts.



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