Quick introductory to Econometrics
Econometric data, econometric model, misspecification testing, hypothesis testing
Case Study: Inferring stock and time selection ability by estimating the market model.

Estimating time varying coefficients
Rolling, Expanding sample techniques
Kalman Filter
Case Study: Risk management and estimating the market model with time varying coefficients

Backtesting Investment Strategies
Introduction to programming an econometric application
Case Study: Momentum vs Contrarian

Binary Models
Dichotomous variables, Probit, Logit
Case Study: Building a model for probability of default

Event studies
What is an event, what is an event study, steps of an event study
Case Study: M&A

Students attending this course are expected to:

• Understand specific financial applications that are based in econometric tools
• Get familiar with the basic steps required for designing and delivering a financial application
• Have good knowledge of econometric software gretl
• Be able to develop a standalone financial application using gretl’s programming language

• Retrieve, analyze and synthesize data and information, with the use of necessary technologies
• Make decisions
• Work Autonomously and Team work

Students (in a group or individually) will be assigned a case study that they will be working on during the course. The case study can be on any of the topics presented in the course and students’ success will depend on a presentation of their findings.

– Recommended Bibliography: 

– Related scientific journals: