Финансовая эконометрика

2026/2027

ID 1127039

Статус: Маго-лего

Кто читает: Департамент финансов

Где читается: Санкт-Петербургская школа экономики и менеджмента

Охват аудитории: для всех кампусов НИУ ВШЭ

Преподаватели: Антипов Артем Игоревич

Язык: русский

Кредиты: 3

Контактные часы: 32

Дополнительные материалы в LMS Задать вопрос

Аннотация

This course provides a comprehensive introduction to modern quantitative financial econometrics, combining rigorous statistical theory with practical applications in financial markets. Starting with fundamental concepts such as stylized facts of financial returns and the properties of financial time series, the course progressively builds towards advanced techniques including unit root testing, cointegration analysis, GARCH volatility modeling, factor-based asset pricing, value-at-risk measurement, and portfolio optimization. Through an integrated approach of theoretical exposition and hands-on R programming, students master contemporary statistical methods essential for analyzing financial data, building predictive models, and managing portfolio risk. Upon completion, students are equipped to develop production-grade financial econometric applications, conduct robust backtesting of trading strategies, and apply sophisticated risk measurement techniques in real-world finance environments. The course is designed for graduate students and finance professionals seeking advanced knowledge in econometric modeling of financial markets. It bridges the gap between classical econometric theory and modern applications in quantitative finance, with particular emphasis on addressing the unique challenges of financial data: non-normality, volatility clustering, non-stationarity, and comovement structures. Students develop both analytical skills (understanding model assumptions and limitations) and practical competencies (implementation in R, model diagnostics, backtesting frameworks). Successful completion prepares students for careers in quantitative trading, risk management, portfolio optimization, and financial research, as well as for advanced doctoral studies in finance and econometrics.

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.

Планируемые результаты обучения

Understand the principles of financial econometrics and its methodology
Know the tools of financial econometrics
Understand and be able to implement the correct econometric models for each financial problem