This course aims at introducing the student to the statistical techniques that are well suited for analyzing financial data.
1. Review of the Technical Background (Mathematics, Probability Theory, Econometrics)
2. The role of risk and uncertainty in Financial Modeling.
3. The stylized facts of financial returns and theoretical explanation.
4. Testing the predictability of asset returns.
5. Estimation and testing of asset pricing models (Capital Asset Pricing, Factor models, etc.)
6. Time series models of Asset Returns
7. Estimation of simple Derivative Pricing models
8. Bonds and Term Structure estimation
9. Nonstationarities in financial data. Assumptions’ failure and treatment.
Campbell Lo and MacKinlay,(1997) The Econometrics of Financial Markets, Princeton
Tsay, Ruey S., (2002) , Analysis of Financial Time Series, John Wiley and Sons
Greene, William (2000), Econometric Analysis, Prentice Hall, 4th Edition,