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Regular version of the site
Master 2023/2024

# Financial Econometrics

Type: Elective course (Finance)
Area of studies: Finance and Credit
Delivered by: Department of Finance
When: 1 year, 4 module
Mode of studies: offline
Open to: students of all HSE University campuses
Instructors: Giuseppe Orlando
Master’s programme: Finance
Language: English
ECTS credits: 3
Contact hours: 32

### Course Syllabus

#### Abstract

The course is designed to introduce the various spectrum of quantitative financial econometrics. It discusses about some of the important contemporary statistical methods and its practical applications in the field of finance. The course starts with the basic concepts such as random walk hypothesis and progresses towards the advanced topics such as Simultaneous Equations Models, Copula and Wavelets. After mastering this course, the students will gain substantial knowledge about the financial econometrics and will be able to apply the models in solving real life problems in finance. Successful completion of the course will make them ready for the job market as well as for rigorous research in finance.

#### Learning Objectives

• 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.

#### Expected Learning Outcomes

• 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

#### Course Contents

• Random Walk Hypothesis
• Efficient Frontier
• Portfolio Optimisation
• Introduction to Asset Pricing Models
• Risk Analysis
• System Estimation by Instrumental Variables
• Scope and Methodology of Econometrics
• Geometric Brownian Motion
• Introduction to Fat tails
• Introduction to Copula Models
• Introduction to Wavelets
• Project Presentation

#### Assessment Elements

• In-Class Activity
• Project work
• Exam

#### Interim Assessment

• 2023/2024 4th module
0.5 * Exam + 0.2 * In-Class Activity + 0.3 * Project work

#### Recommended Core Bibliography

• An introduction to trading in the financial markets: market basics, Williams, R.T., 2011
• Eugene F. Fama, & Kenneth R. French. (2004). The Capital Asset Pricing Model: Theory and Evidence. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.D1F2477F
• FAMA, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance (Wiley-Blackwell), 25(2), 383–417. https://doi.org/10.2307/2325486
• Gregory-Williams, J., & Williams, B. (2004). Trading Chaos : Maximize Profits with Proven Technical Techniques: Vol. 2nd ed. Wiley.
• Handbook of financial econometrics : Volume 1-2. v. 1: Tools and techniques, ,
• Handbook of financial econometrics : Volume 1-2. v. 2 : Applications, ,
• MARKOWITZ, H. (1952). Portfolio Selection. Journal of Finance (Wiley-Blackwell), 7(1), 77–91. https://doi.org/10.2307/2975974
• Markowitz, H. M. (1991). Foundations of Portfolio Theory. Journal of Finance (Wiley-Blackwell), 46(2), 469–477. https://doi.org/10.1111/j.1540-6261.1991.tb02669.x
• Robert F. Engle, & Simone Manganelli. (1999). CAViaR: Conditional Value at Risk By Quantile Regression. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.4F958AC4
• Tsay, R. S. (2002). Analysis of Financial Time Series : Financial Econometrics. New York: John Wiley & Sons, Inc. [US]. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=87319
• Tsay, R. S. (2010). Analysis of Financial Time Series (Vol. 3rd ed). Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=334288