Financial Econometrics


Course Objective

This course introduces students to econometric
methods in financial econometrics.

By the end of this course, participants will:
(1) know how to design, code, estimate and analyze time-varying
parameter models used in Finance;
(2) understand the interplay between econometric techniques and modeling
(3) have used computational methods to solve econometric exercises;
(4) know how to estimate parameters of structural models using
simulation-based estimators;
(5) have gained experience in working with real data.

Participation in this course is a worthwhile preparation for the master
courses in the MSc Econometrics program. The econometric techniques
discussed will also be beneficial to everyone planning to write a
Bachelor's thesis in Financial Econometrics.

Course Content

This course covers both theoretical and practical aspects of modern
econometric models that are used by financial institutions, investment
banks, central banks, governments, think tanks, and other research

The students are introduced to models in Finance that feature
nonlinearities, time-varying parameters and latent variables.
In particular, the students learn how to design, implement,
estimate and analyze both observation-driven and parameter-driven

Finally, from a practical perspective, the students also learn how to
use these models in Finance to calculate important risk measures and
design optimal portfolios.

Teaching Methods

Lectures, tutorials and practical computer-lab classes.

Method of Assessment

Final exam and group assignment – Individual assessment

Entry Requirements



Lecture notes and other material provided by teacher.

Other reading material:

Francq and Zakoian, 2011, GARCH Models: Structure, Statistical Inference
Financial Applications. John Wiley & Sons.

Tsay, 2010, Analysis of Financial Time Series. John Wiley & Sons.

Gourieroux and Monfort, 1996, Simulation-Based Econometric Methods.
Oxford University Press.

Target Audience

This course is targeted at both econometrics and non-econometrics
students that have an understanding of basic mathematics, probability,
statistics and time-series analysis.

Recommended background knowledge

This course builds on introductory time-series concepts.
Attending courses such as "Introduction to Time-Series" in the minor of
Applied Econometrics, or the third-year Bachelor
course "Econometrics III", is not required, but certainly provides an
adequate background knowledge.

General Information

Course Code E_EOR3_FTR
Credits 6 EC
Period P5
Course Level 300
Language of Tuition English
Faculty School of Business and Economics
Course Coordinator dr. P. Gorgi
Examiner dr. P. Gorgi
Teaching Staff dr. P. Gorgi

Practical Information

You need to register for this course yourself

Last-minute registration is available for this course.

Teaching Methods Lecture, Study Group, Computer lab
Target audiences

This course is also available as: