Description
Module 1: Introduction to Financial Econometrics
– Overview of financial econometrics and its applications.
– Econometric models in finance.
– Data sources and data types in financial econometrics.
Module 2: Time Series Analysis
– Time series data and analysis.
– Stationarity, autocorrelation, and volatility modeling.
– ARIMA models and GARCH models.
Module 3: Panel Data and Cross-Sectional Analysis
– Panel data analysis in finance.
– Fixed effects and random effects models.
– Cross-sectional analysis and regression techniques.
Module 4: Volatility Modeling and Forecasting
– Volatility modeling for financial assets.
– ARCH and GARCH models.
– Volatility forecasting techniques.
Module 5: Asset Pricing Models
– Asset pricing models and factor models.
– Capital Asset Pricing Model (CAPM).
– Fama-French three-factor model and extensions.
Module 6: Financial Time Series Forecasting
– Forecasting financial returns and prices.
– Model selection and evaluation.
– Forecasting in high-frequency finance.
