The University of Alabama 3 credits EC
In this course, we focus on the empirical techniques mostly used in the analysis of financial markets and how they are applied to actual data. We will begin with calculations and stylized facts of financial asset prices and returns. We next introduce statistical and econometric models to capture or reproduce these data features, mainly relying on time series models, estimations and tests. The first application is to apply these techniques to solve the practical financial issue of portfolio optimization. And then, we continue to time-varying asset returns to search for predictors of financial asset returns using CAPM model. To estimate the financial markets/assets fluctuations and the portfolio uncertainty, we start to learn conditional volatility models, including ARCH, GARCH, etc. Finally, from the perspective of risk management, we introduce the tools to estimate market risk of financial assets.
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