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GERF2123 - Empirical finance
Credits :
3
Lecturer :
Mode of delivery :
Face-to-face , second term, 15 hours of theory.
Language of instruction :
French
Learning outcomes :
The objective of the course is to enable students to consolidate their basic knowledge of econometrics and then to understand and to know how to apply a couple of important empirical methods in finance. Ultimately, the student must be able to carry out an empirical analysis project in finance autonomously using the Gretl software. Emphasis is placed on the ability to apply econometric tools.
Prerequisites :
None
Co-requisites :
None
Course contents :
Course Map :
1. Reminder in Statistics and Econometrics,
2. Econometric methods for financial data (time series, non-linear models, VAR models, cointegration models). These models are used, for example, for systemic risk analysis or forecasting (i.e. macroeconomic forecasts).
3. Risk analysis of an asset or a portfolio with the Value-at-Risk (VaR)
Planned learning activities and teaching methods :
Lectures and exercises in Gretl.
Assessment methods and criteria :
Written exam and computer exercises.
Recommended or required reading :
Slides.
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