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FINANCIAL ECONOMETRICS

Source: pages.stern.nyu.edu
Topic: Econometrics

Sort Desciption: Course Description: The course is designed to introduce the econometric tools most ... preparation is Econometrics I and Finance Theory II. ...

Content Inside: Econometrics II Professor Robert F. Engle Topics in Financial Econometrics Fall 2002 B30.3352 Tuesday: 10:0012:50 pm KMC 5-75 Tel: 212 998-0710 Fax: 212 995-4220 Email: rengle@stern.nyu.edu FINANCIAL ECONOMETRICS FALL 2002 ROBERT ENGLE Course Description: The course is designed to introduce the econometric tools most used in finance and to gain understanding of the sources and characteristics of financial data. We will use Datastream or other vendors as a source for financial data and EViews software to build ARCH and other time series models. There will be homework and a paper but no exam. There is a lot of reading. The bold references will be distributed one week in advance. The others will be available for lending in my office. The homework assignments will frequently be computer exercises which will be presented in class. EViews is available in the computer lab but I recommend that you buy a copy or upgrade to version 4.0 which has ARCH software as well as GMM cointegration etc. This course presumes familiarity with finance as well as a course in graduate econometrics. Ideal preparation is Econometrics I and Finance Theory II. Time: Tues 10:00-12:50 Office Hours: Tues. 3:00-5:00 or appt. DATE TOPIC READINGS FORECASTING RETURNS 9/10 Financial Data GJ Chapter 1 16 T Chapter 1 Quick Review of Time Series Models GJ Chapter 2 T Chapter 2 Forecast Evaluation 11 Data Snooping 3940 FORECASTING VOLATILITY 9/17 Volatility Models GJ Chapt 6 T Chapt 3 1418303637 9/24 Volatility: Econometric Theory Engle Chapters 134578 8 10/1 Stochastic Volatility Engle 246 34 T Chapt 104243 PRICING AND HEDGING OPTIONS 10/8 Options & Implied Vol GJ Chapter 13 10/15 Options with Stochastic Volatility 33 7 10/22 Options with GARCH Engle 9 17 20 1238 EXTREME VALUES AND VALUE AT RISK 10/29 Quantiles copulas non-normality and extreme value distributions GJ Chapter16 T Chapt 7 35 25 ASSET ALLOCATION 11/5 Factor Models GJ Chapt 9 T Chapt 9 28 CLM Chapt 11/12 Multivariate GA ...

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