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

1. Introductory Lecture I

Reading material lecture
a. Bollerslev, Engle Nelson ARCH chapter Handbook of Econometrics Volume 5, Elsevier (not available on web).
b. Nelson, 1991 Econometrica

2. Introductory Lecture II

Reading material lecture Ghysels et al. (2005), JFE

3.  Multivariate ARCH models I

 

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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