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
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
EnseignantsBruneau 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