B5RB0915 - Financial econometrics - Cours magistral
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
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 : Aucune cohorte inscrite. Consultation des ressources uniquement : Aucune cohorte inscrite. |
| 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 |