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Financial Econometrics

2019/2020
Учебный год
ENG
Обучение ведется на английском языке
4
Кредиты
Статус:
Курс по выбору
Когда читается:
1-й курс, 4 модуль

Преподаватель

Программа дисциплины

Аннотация

The course is designed to introduce the various spectrum of quantitative financial econometrics. It discusses about some of the important contemporary statistical methods and its practical applications in the field of finance. The course starts with the basic concepts like random walk hypothesis and progresses towards the advanced topics like copula and wavelets.
Цель освоения дисциплины

Цель освоения дисциплины

  • The students will gain substantial knowledge about the financial econometrics and will be able to apply the same in solving real life problems in finance. Successful completion of the course will make them ready for the job market.
Результаты освоения дисциплины

Результаты освоения дисциплины

  • Student knows contemporary methods of econometric research and its appropriate applications.
  • Student is able to critically analyze the given problem and to derive comprehensive solutions for the given problem.
  • Student identifies problem and need based appropriate model selections.
  • New Model development, and its applications to solve the problems in finance.
Содержание учебной дисциплины

Содержание учебной дисциплины

  • Scope and Methodology of Econometrics
  • Random Walk Hypothesis
    Random Walk Models
  • Geometric Brownian Motion
  • Efficient Frontier
  • Portfolio Optimisation
  • Introduction to Asset Pricing Factor Models
    CAPM Multifactor Asset Pricing Models
  • Risk Analysis
    Volatility risk ARCH & GARCH Models Value at Risk Models
  • Introduction to Fat tails
    Fat tails in financial data How to handle fat tails It’s implication on investment decision
  • Introduction to Copula Models
    Elliptical Copulas Archimedean Copulas
  • Introduction to Wavelets
    Multi scale Wavelet decomposition Wavelet Covariance and Correlation Wavelet CoherenceWavelet Clustering
  • Project Presentation
Элементы контроля

Элементы контроля

  • In-class participations (неблокирующий)
  • Individual/group project (неблокирующий)
  • Final exam (неблокирующий)
Промежуточная аттестация

Промежуточная аттестация

  • Промежуточная аттестация (4 модуль)
    0.55 * Final exam + 0.2 * In-class participations + 0.25 * Individual/group project
Список литературы

Список литературы

Рекомендуемая основная литература

  • Brani Vidakovic, & Peter Mueller. (1991). Wavelets for kids: A tutorial introduction. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.1D880B33
  • Eugene F. Fama, & Kenneth R. French. (2004). The Capital Asset Pricing Model: Theory and Evidence. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.D1F2477F
  • Eugene F. Fama. (1965). Random Walks in Stock-Market Prices. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.1D3A556E
  • FAMA, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance (Wiley-Blackwell), 25(2), 383–417. https://doi.org/10.2307/2325486
  • MARKOWITZ, H. (1952). Portfolio Selection. Journal of Finance (Wiley-Blackwell), 7(1), 77–91. https://doi.org/10.2307/2975974
  • Markowitz, H. M. (1991). Foundations of Portfolio Theory. Journal of Finance (Wiley-Blackwell), 46(2), 469–477. https://doi.org/10.1111/j.1540-6261.1991.tb02669.x
  • Robert F. Engle, & Simone Manganelli. (1999). CAViaR: Conditional Value at Risk By Quantile Regression. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.4F958AC4
  • Tsay, R. S. (2010). Analysis of Financial Time Series (Vol. 3rd ed). Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=334288

Рекомендуемая дополнительная литература

  • C. Merton, & Robert C. Merton. (1972). An analytic derivation of the efficient portfolio frontier. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.67631990
  • Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, (3), 341. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.eee.jetheo.v13y1976i3p341.360