Financial econometrics

This unit covers statistics econometrics tools to analyse and model the key characteristics of empirical distributions of asset returns, model and estimate the simple capital asset pricing model and its extensions, and test for various financial market hypotheses. It includes modelling, estimating and analysing time series properties of stationary and non-stationary financial data, and modelling and estimating simple and multivariate long-run relationships among financial variables. It also includes modelling and estimation of ARCH/GARCH volatilities, single-factor and multiple-factor capital asset pricing models. You will be requested to work through a number of questions and projects with a broad range of financial data sets.