Lectures/Seminars

Introduction to Financial Econometrics

Properties of Financial Time Series - Assets, Prices, Random Walk, Moving average Models.

Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root

Linear Models for Financial Time Series - AR, MA, Wold decomposition

Nonlinearities in Financial Data - Volatility, EWMA, (G)ARCH

Long memory in volatility - FIGARCH, Long memory Stochastic volatility models.

Persistence in Time Series: Extended Wold decompositions

High-frequency financial models - continuous-time processes

High-frequency financial models - Realized Measures

High-frequency financial models - HAR, Realized GARCH

High-frequency financial models - Asymmetry, Realized (semi) beta

Forecasting