Department of Banking & Financial Management
University of Piraeus
M.Sc in Banking and Financial Management
Course: Time Series Analysis
Dr. Nicholas Apergis & C. Bouras
Financial econometrics is the intersection of statistical techniques and finance. Financial econometrics provides a set of tools that are useful for modelling financial data and testing beliefs about how markets work and prices are formed. Conversely, new techniques in analyzing financial data can lead to empirical facts inconsistent with existing theories, begging for new models or investment strategies.
The course begins with models of time varying expected returns which are useful in formulating expected returns. A casual follower of financial asset prices quickly notices prolonged periods of high volatility followed by more tranquil periods. We next develop several modelling tools that allow us to forecast or predict risk, or volatility, when risk is changing through time. The financial crisis highlighted contagion or the fact that returns on assets tend to be more highly correlated in market downturns. Some market prices must satisfy long run relationships.
Who should take this class?
This course will be useful to students who plan to take empirically oriented finance courses as well as students who want to get a solid understanding of the tools required to analyze and model financial asset prices. The link between new statistical models and implementation is emphasized throughout. The course is also recommended for students who will implement empirical work in their theses, since the material will cover most of the necessary statistical tools required for a successful writing.
Textbook or notes
Lectures are primarily based on lecture notes.
There will be weekly homework assignments. Students may work only on a sole basis. No late homework will be accepted. Missed homework will receive a grade of zero. The homework will be graded, and each assignment carries equal weight.
The students will be using either software available in our lab, while an assistant will be available only for guiding them with the software and with their homework.
Attendance of the class is required and it is essential. The course materials are mainly from the notes. Many conceptual issues and financial econometrics thinking are only taught in the class.