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 2023
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 to financial econometrics
Open
Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 29/9/2023 to 5/10/2023.
Week 2: Time-series and regressions
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Chapter contains:
1
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1
Study Materials
Teacher recommends to study from 6/10/2023 to 12/10/2023.
Week 3: Unit-root and ARIMA modelling
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Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 13/10/2023 to 19/10/2023.
Week 4: ARDL and Introduction to ARCH/GARCH
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Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 20/10/2023 to 26/10/2023.
Week 5 (No Teaching)
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Teacher recommends to study from 27/10/2023 to 2/11/2023.
Week 6: Garch models
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Chapter contains:
1
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1
PDF
Teacher recommends to study from 3/11/2023 to 9/11/2023.
Week 7: Reading week
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Teacher recommends to study from 10/11/2023 to 16/11/2023.
Week 8: National holliday
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Teacher recommends to study from 17/11/2023 to 23/11/2023.
Week 9: Value-at-Risk
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Chapter contains:
1
Homework Vault
1
PDF
Teacher recommends to study from 24/11/2023 to 30/11/2023.
Week 10: Out-of-sample Garch and VaR
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1
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2
PDF
Teacher recommends to study from 1/12/2023 to 7/12/2023.
Week 11: EWMA model
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Chapter contains:
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2
PDF
Teacher recommends to study from 8/12/2023 to 14/12/2023.

Exam
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Chapter contains:
1
Homework Vault
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