Empirical Finance

This course is intended to introduce PhD students to a variety of research perspectives in empirical finance. In particular, the course focuses on several econometric approaches, where the technical specifications of models are accompanied by practical examples from the relevant academic literature. In particular, several versions of GARCH model specifications, along with factor models, panel data, and stochastic models for yield curves are explained in detail. In each case, the lectures include useful hints concerning computational steps and implementation. In practical applications, students get acquainted with techniques for predicting asset returns and consumption-based asset pricing.

Knowledge:

The course will fix theoretical aspects of various econometrics models: factor models, GARCH specifications, yield curve models and panel data analysis. Students will learn implementation aspects of these models. They will get acquainted with the most popular techniques for predicting asset returns and consumption-based asset pricing.

Skills:

At the end of the course, students will achieve programming skills from the implementation of the above mentioned models. They will also develop analytical skills from the critical assessment of related articles. Writing skills: Students will be able to interpret their results in the group paper.

Competence:

After the course, students will be able to select and apply suitable econometric models to their own research; Communicate and interpret results; Be critical to relevant literature in the area finance.

Students will be assisted with the implementation of problem sets, which will be defined in class after each module. Students are encouraged to work in groups on problem sets and relevant papers that will be distributed in class. Students are encouraged to bring along at the class own laptops with one of the programming softwares: Matlab, R, Julia or similar.