Financial econometrics
Aperçu des semaines
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Welcome to the website of the course "Financial Econometrics"!
Courses will take place on:
- Thursday: room EXT 126, Extranef building
- Friday: room EXT 126, Extranef building
PLANNING OF THE COURSE « FINANCIAL ECONOMETRICS »
Lectures
Session 1: February 28 (10:15 – 12:00 and 13:15 – 15:00) and March 1 (8:15 – 10:00)
Session 2: March 7 (10:15 – 12:00) and March 8 (8:15 – 10:00)
Session 3: March 14 (10:15 – 12:00 and 13:15 – 15:00) and March 15 (8:15 – 10:00)
Session 4: March 21 (10:15 – 12:00 and 13:15 – 15:00) and March 22 (8:15 – 10:00)
Session 5: April 11 (10:15 – 12:00 and 13:15 – 15:00) and April 12 (8:15 – 10:00)
Session 6: May 16 (10:15 – 12:00 and 13:15 – 16:00) and May 17 (8:15 – 10:00)
Session 7: May 23 (10:15 – 12:00 and 13:15 – 16:00) and May 24 (8:15 – 10:00)
Exercises
Session 1: March 7 (13:15 – 16:00)
Session 2: March 28 (13:15 – 16:00)
Session 3: April 4 (13:15 – 16:00)
Session 4: April 18 (13:15 – 16:00)
Session 5: May 9 (13:15 – 15:00)
Session 6: May 10 (8:15 – 10:00)
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Part I: How to model volatility?
Chapter 1: Describing Financial Time Series
Chapter 2: ARCH and GARCH models
Chapter 3: Extensions of GARCH models (univariate and multivariate models)
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Chapter 1: Key concepts in machine Learning
Chapter 2 : Selection of variables
Part a: Subset methods
Part b: Shrinkage methods
Part c: Reduction methods
Chapter 3 : Support Vector Machine
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Note that the content of the course has changed over years so that a given exam might not be representative of what is expected this year (see Syllabus)
