Applied Financial Econometrics
Axel Alejandro Araneda Barahona, Ph.D.
Applied Financial Econometrics
Axel Alejandro Araneda Barahona, Ph.D.
Applied Financial Econometrics
Info
Course
Term
Autumn 2024
Welcome to our Applied Financial Econometrics course. 


Time table: 

  • Lectures: Friday 10:00-11:50 (P106)
  • Seminars: Friday 14:00-15:50 (VT105)

Course Rules:

  • Attendance to lectures is highly recommended but not compulsory.
  • The final grade of the course is established as:
    • Tasks (50%)
    • Final Term or Exam (50%)
  • The students will receive an assignment at every seminar, and they should deliver it by the end of the seminar hours.
  • These assignments will receive a qualification. The best eight grades become the Task grade. 
Week 1: Introduction
Open

27.09

Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 27/9/2024 to 3/10/2024.
Week 2: Linear regression
Open
Chapter contains:
1
Homework Vault
1
PDF
1
Study Materials
Teacher recommends to study from 4/10/2024 to 10/10/2024.
Week 3: ARIMA models
Open

11.10

Chapter contains:
1
Homework Vault
1
PDF
1
Study Materials
Teacher recommends to study from 11/10/2024 to 17/10/2024.
Week 4: ARDL and introduction to ARCH-GARCH
Open
Chapter contains:
1
Homework Vault
1
PDF
1
Study Materials
Teacher recommends to study from 18/10/2024 to 24/10/2024.
Week 5: ARCH-GARCH models
Open
Chapter contains:
1
Homework Vault
1
PDF
Teacher recommends to study from 25/10/2024 to 31/10/2024.
Week 6: Value at Risk (I)
Open
Chapter contains:
1
Homework Vault
1
PDF
Teacher recommends to study from 1/11/2024 to 7/11/2024.
Week 7
Open
Teacher recommends to study from 8/11/2024 to 14/11/2024.
Week 8: Value at Risk (II)
Open
Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 15/11/2024 to 21/11/2024.
Week 9: EWMA model
Open
Chapter contains:
2
Homework Vault
2
PDF
Teacher recommends to study from 22/11/2024 to 28/11/2024.
Week 10: Forecasting returns, volatility, and option pricing
Open
Chapter contains:
1
Homework Vault
3
PDF
1
Study Materials
Teacher recommends to study from 29/11/2024 to 5/12/2024.
Week 11
Open
Chapter contains:
1
Homework Vault
1
PDF
1
Study text
Teacher recommends to study from 6/12/2024 to 12/12/2024.
Week 12
Open
Teacher recommends to study from 13/12/2024 to 19/12/2024.
Week 13: Exam
Open
Chapter contains:
1
Homework Vault
1
PDF
Teacher recommends to study from 20/12/2024 to 26/12/2024.
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