Financial Econometrics

Indicative content

1. Econometrics of financial time series - basic properties of financial time series, return series. Econometric software for financial time series analysis.
2. Box-Jenkins ARIMA methodology (AR, MA, ARMA processes, integrated processes). Testing the existence of a unit root.
3. Modeling of autoregressive conditional heteroskedasticity - ARCH class models. Basic concepts, methodology.
4. One-dimensional ARCH-class models - linear and nonlinear. Estimation of parameters in one-dimensional ARCH-class models, diagnostic checking of residuals.
5. Selection of a suitable type of ARCH-class model. Volatility forecasting.
6. Efficient market hypothesis and seasonal anomalies.
7. Regime-switching models. Models with regimes determined by observable variables - TAR models, models with regimes determined by unobservable variables - Markov regime-switching models (MSW).
8. Markov regime-switching GARCH models (MS-GARCH).
9. Investigation of interactions between time series - correlation analysis, cross-sectional standard deviation, multidimensional ARCH-class models (MGARCH).
10. MGARCH - basic concepts, methodology. BEKK and VECH models.
11. MGARCH - CCC and DCC models.
12. Estimation of parameters in MGARCH models.
13. Application of MGARCH models in the analysis of stock markets linkages. Examining the effect of the transmission of "contagion" between stock markets.