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Empirical Methods in Finance

  • Enseignant(s):   F.Ielpo  
  • Titre en français: Méthodes empiriques en Finance
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre de printemps 2020-2021, 4.0h. de cours + 2.0h. d'exercices (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

    Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données
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Objectifs

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.

Contenus

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

Références

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.

Pré-requis

Data Science for Finance

Evaluation

1ère tentative

Examen:
Ecrit 3h00 heures
Documentation:
Non autorisée
Calculatrice:
Autorisée
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.

Rattrapage

Examen:
Oral 0h20 minutes
Documentation:
Non autorisée
Calculatrice:
Non autorisée
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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