Topics in Financial Time Series Econometrics (Financial Econometrics B)
- Course Name: Financial Econometrics B - Topics in Financial Time Series Econometrics. Summer school 12
- Chronology: Financial Econometrics B is a graduate course
- ECTS: 7.5 ECTS
- Teacher: Anders Rahbek, email@example.com , Telephone 35324031 and Heino Bohn Nielsen, Heino.Bohn.Nielsen@econ.ku.dk
- Schedule: August 6th 2012 - August 24th 2012 Lectures: Monday, Tuesday, Thursday 13-15 in CSS 7.0.34 Class: Monday, Tuesday, Thursday, Friday 9-12 in CSS 7.0.34
Academic Aims This course introduces topics from research in financial time series econometrics. For each topic, econometric methods are discussed and illustrated by empirical applications. After completion of the course the student will have obtained a fundamental knowledge of central econometric modeling as applied in research within financial econometrics. For each topic treated this will include: - The ability to analyze the financial econometric models such that their properties are well-understood from a methodological point of view. This will include theory for estimation and testing, dynamic properties and linkage with applied literature. - The ability to implement the econometric models in applied work and interpret the results empirically and theoretically.
The topics covered, e.g. multivariate volatility modeling, asset pricing models and term structure models, will vary from year to year.
Course Content This course introduces topics from research in financial time series econometrics. For each topic, the econometric methods are discussed and illustrated by empirical applications. Topics are selected from within: Econometric Modeling of Asset Returns: - Multivariate GARCH models with application to portfolio selection and value at risk (VaR). - Test of market efficiency: Asset return predictability.
Static and Dynamic Asset Pricing Models: - The capital asset pricing model (CAPM) and the asset pricing theory (APT) model. - Term structure models, including co-integration.
High-Frequency Modeling: - Continuous time methods - Autoregressive conditional duration (ACD), and integer valued financial time series models.
Syllabus: The course is based on selected papers and hand-outs provided during term. A full reading will be provided. Supplementary reading: Taylor, S.J., Asset Price Dynamics, Volatility and Prediction, Princeton University Press, 2005 Tsay, R., Analysis of Financial Time Series" Wiley, 2005. Language: English Prerequisites: A background in econometric methods as presented in e.g. "Financial Econometrics A". In particular, this includes likelihood-based analysis of univariate GARCH models. Teaching and Work Forms: The course is based on lectures and exercises. Formal Requirements and exam form: A total of three mandatory hand-in written assignments passed during term.