ETF5300 Applied financial econometrics

This unit introduces to students a collection of methods that are currently applied to analysing financial market data. Key features of financial data require specialised methods of analysis. The topics covered include models for analysing and forecasting financial time series with asymmetric distributional features; univariate/multivariate volatility models; stochastic volatility and realised volatility models; and empirical applications relevant to investors and traders. The risk management related topics covered include estimation of Value at Risk models and back testing; continuous time processes for pricing assets and derivatives; and empirical applications relevant to risk management.