The econometric methods used to analyze financial markets have experienced increasing importance in recent years. This course describes the econometric methods now widely used in financial industry to deal with estimating and evaluating asset pricing models, equilibrium and derivative pricing, market microstructure, options, bonds and the term-structure of interest rates. A special emphasis will be made to model nonlinearities and other "anomalies" of financial data. Factor models and Bayesian methods in risk attributions and financial investments will be discussed. The main topics of the course are:
· Asset Pricing Theory
· Stationary Time-Series Models
· Modeling Financial Time Series: Trends and Volatility Testing for Trends and Unit Roots, Multi equation Time Series Models, Cointegration and Error Correction Models
· Factor Models for Risk Attributions and Forecast
· Bayesian Methods in Investment Decisions
· Campbell, J.Y., Lo, A. W., MacKinlay, A. C., The Econometrics of Financial Markets, Princeton University Press, 1997.
· Fabozzi, F., Rachev S. T., Foccardi, S., Arshanapalli, B., The Basics of Econometrics: Tools, Concepts and Asset Management Applications, John Wiley, 2014.
· Rachev S. T., Mittnik S., Fabozzi, F., Foccardi, S., Jasic, T., Financial Econometrics, John Wiley, Finance, 2007.
· Ruey S. Tsay, An Introduction to Analysis of Financial Data with, John Wiley, 2013.
· Ruppert, D., Statistics and Data Analysis for Financial Engineering, Springer-Verlag, 2011.