Statistical and Applied Mathematical Sciences Institute
19 T.
W. Alexander Drive
P.O. Box 14006
Research Triangle Park, NC
27709-4006
Tel: 919.685.9350 FAX:
919.685.9360
[email protected]
SAMSI course on
"Advanced Topics in Financial Econometrics"
Instructors:
Eric Ghysels, Department of Economics - University of North Carolina
Bas Werker, Economics and Business Administration - Tilburg University, The Netherlands
Class Time: Tuesdays, 4:30-7:00pm
Class Location: NISS Building, Room 104 (directions)
Class begins August 30, 2005
University Listings
Duke STA 294.01
NC State ECG 790O.002, MA 797O.002, ST 810O.002
UNC ECON 388.001
COURSE INFORMATION
This course will cover a selected list of current
empirical research topics in finance and related econometric methods. A list
of the topics that will be covered includes estimation of continuous time processes,
MIDAS regressions, stochastic volatility models and term structure models. The
coverage of the different topics will depend in part on the interest of the
students. The purpose of the course is to overview the current developments
and to prepare students for research in the areas.
Prerequisites: Graduate Time Series, Econometrics, Empirical Finance and Asset
Pricing theory courses.
Lecture Material
Reading material lecture
a. Bollerslev, Engle Nelson ARCH chapter Handbook of Econometrics Volume 5,
Elsevier (not available on web).
b. Nelson, 1991 Econometrica
Reading material lecture Ghysels et al. (2005), JFE
Reading material lecture
a. Braun, et al., Journal of Finance 1995
b. R. Engle, Journal of Business & Economic Statistics 2002
c. E. Sentana, Econometrics Journal 1998
4. Multivariate ARCH Models II
5. Statistical inference for ARCH models (updated 11/14/05)
6. Empirical Affine Term Structure Models
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