Sylabus
Lectures/Seminars
Introduction to Financial Econometrics
Properties of Financial Time Series - Assets, Prices, Random Walk, Moving average Models.
Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root
Linear Models for Financial Time Series - AR, MA, Wold decomposition
Nonlinearities in Financial Data - Volatility, EWMA, (G)ARCH
Long memory in volatility - FIGARCH, Long memory Stochastic volatility models.
Persistence in Time Series: Extended Wold decompositions
High-frequency financial models - continuous-time processes
High-frequency financial models - Realized Measures
High-frequency financial models - HAR, Realized GARCH
High-frequency financial models - Asymmetry, Realized (semi) beta
Forecasting
Anotace
The objective of the course is to introduce advanced time series methods and high frequency financial econometrics. Students will be able to use the modern financial econometric tools after passing this course and will be prepared to continue in the Financial Econometrics II course.