Course details
Financial Econometrics
MATH 60210A
This course is divided into four blocks. The first block covers a review of the main asset pricing models and presents advanced methods for empirically testing these models. The second block covers the prediction of financial time series, the numerical implementation of AR and VAR models and non-linear estimation (probit, logit, and NLLS). Forecast evaluation is also covered. The third block covers advanced techniques in financial risk modeling, estimation of financial models with numerical optimization (ML and QML) and volatility modeling with GARCH models. The last block covers event studies and penalized linear models (LASSO, Ridge, and ElasticNet).
Themes covered
- Asset pricing models: CAPM and APT PCA Futures Models Fama-MacBeth Fama-French and conditional factor models.
- Overfitting.
- AR and VAR models: specification model selection impulse response functions and applications in finance (variance decomposition Campbell-Shiller present value decomposition momentum trading tests of market efficiency).
- Forecast evaluation and combination (Diebold-Mariano and Giacomini-White).
- Probit logit and NLLS.
- Density forecasting and PIT tests.
- ML and QML Estimation
- Value at risk.
- Inference: delta method and likelihood ratio tests.
- Numerical optimization: an overview of popular algorithms constrained optimization and practical applications.
- GARCH volatility modeling: estimation and diagnosis.
- Event studies in finance.
- Penalized regressions (LASSO Ridge and ElasticNet).
Important notes
Course in French : FINA 60210
Course code
MATH 60210A
Subject
Mathématiques
Program
Maîtrise en gestion (M. Sc.)
Instruction mode
On-site learning
Credits
4