Course Language:
English
Course Objectives:
Other courses in the program are the theoretical and practical teaching of econometric information and models that are required to be used frequently in thesis writing and academic studies.
Course Content:
Basic financial time series models; Value-at-Risk (VaR) metrics tests and comparisons, stochastic volatility; Overview of AR, MA, ARMA, VaR dynamic models and predictions with ARIMA, VaR models; ARCH and GARCH Models and applications; Efficient Market Hypothesis and predictability of returns on financial assets; Testing of least squares and maximum likelihood methods, index models, CAPM and Multi-Factor Models. Autocorrelation Analysis.
Teaching Methods:
1: Lecture, 2: Question-Answer, 3: Discussion, 4: Simulation, 5: Case Study
Assessment Methods:
A: Testing, B: Experiment, C: Homework, Q: Quiz