In this course, we present econometric tools frequently used in quantitative finance.

Chapter I : Summary of the key knowledge that is needed to analyse financial time series

1) Reminders: (3h)

• Stationarity (asset returns)/non-stationarity (asset prices). Spurious regressions. Unit root tests.
• Multivariate analysis: joint dynamics of several finacial series: stationary VAR models and associated Impulse response analysis
• example: joint dynamics of exchange rate and interest rates differential of 2 countries
  

2) Cointegration theory (3h): introduction.

• Engle-Granger or two-step approach
• One-step approach: Johansen
• Error-correcting models

Example of Application: The PER and the Present value model
or how to predict stock returns by using fundamental information

Chapter II (1h30): Introduction to ARCH and GARCH models for analysing the dynamics of stock volatility 

Chapter III (4h30): Introduction to panel data analysis

Chapter IV: (3h00) Introduction to risk measures

• Coherent measure
• VaR
• Conditional VaR
• SRisk

Chapter V (3h00) : General dependence measures between stock returns: introduction to copulas' theory

Informations sur l'espace de cours

Nom	Financial economics - FINANCIAL ECONOMETRICS
Nom abrégé	UP1-C-ELP-B5RB0915-02 - FINANCIAL ECONOMETRICS
Enseignants	Bruneau Catherine
Groupes utilisateurs inscrits	Consultation des ressources, participation aux activités : No enrolled cohort. Consultation des ressources uniquement : No enrolled cohort.
État	Créé par Catherine Bruneau le 26/09/2018 Approuvé par Catherine Bruneau le 26/09/2018

Rattachements à l'offre de formation

Élément pédagogique	UP1-C-ELP-B5RB0915 - Financial econometrics
Chemin complet	> Année 2018-2019 > Paris 1 > UFR 02 : Ecole d'économie de la Sorbonne > Master 2 Recherche Empirical Finance > semestre 3 > UE1 Fundamental > Financial econometrics