Apllied Financial Econometrics
Axel Alejandro Araneda Barahona, Ph.D.
Apllied Financial Econometrics
Axel Alejandro Araneda Barahona, Ph.D.
Apllied Financial Econometrics
Info
Course
Term
Autumn 2022
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 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 (23.09): Introduction to financial markets and topics in financial econometrics
Open
Chapter contains:
2
PDF
1
Study Materials
Teacher recommends to study from 23/9/2022.
Week 2 (30.09): Time-series and regression analysis
Open
Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 30/9/2022 to 6/10/2022.
Week 3 (07.10): Unit root and ARIMA modelling
Open
Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 7/10/2022 to 13/10/2022.
ARDL and introduction to volatility models
Open
Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 14/10/2022 to 21/10/2022.
Week 5 (21.10) Review of the contents and assignments
Open
Teacher recommends to study from 21/10/2022 to 27/10/2022.
Week 6 (28,10) National Holliday 28/10/2022
Open
Teacher recommends to study from 28/10/2022 to 3/11/2022.
Week 7 (4.11) Reading week
Open
Teacher recommends to study from 4/11/2022 to 10/11/2022.
Volatility modelling
Open
Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 11/11/2022 to 17/11/2022.
Introduction to risk measures: Value at Risk
Open
Chapter contains:
1
PDF
Teacher recommends to study from 18/11/2022 to 24/11/2022.
GARCH and VaR forecasting
Open
Chapter contains:
1
Homework Vault
1
PDF
Teacher recommends to study from 25/11/2022 to 1/12/2022.
Forecasting returns and option pricing
Open
Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 2/12/2022.
Option pricing
Open
Chapter contains:
1
Homework Vault
1
PDF
Teacher recommends to study from 9/12/2022 to 15/12/2022.
EWMA model
Open
Chapter contains:
1
Homework Vault
2
PDF
Teacher recommends to study from 16/12/2022 to 22/12/2022.
Assignment (marks)
Open
Chapter contains:
1
PDF
EXAM (Submission)
Open
Chapter contains:
2
Homework Vault







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