ISS 602E - Financial Econometrics

Course Objectives

Course aims to
1.provide the students statistical and econometric techniques to analyze, model and forecast financial time
series,
2.teach modeling the conditional mean, conditional variance and correlation of financial returns.

Course Description

Volatility and Correlation, Moving Average Models, Volatility Modeling, GARCH Models and Extensions,
Forecasting Correlation and Volatility, Covariance Matrices, Principle Component Analysis, Orthogonal
GARCH Model, Value at Risk-VaR, Modeling Non-Normal Returns, Time Series Models, Cointegration