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    Financial Econometrics

    • Niveau d'étude

      BAC +5

    • Composante

      École d'économie de la Sorbonne (EES)

    • Volume horaire

      18h

    • Période de l'année

      Automne

    Description

    Summary: This course is devoted to times series:

    - First, taken separately, with the treatment stationary dynamics (ARMA models), with potential heteroskedasticity (ARCH effects) and non-linearity (STR Models).

    - Second, in a multivariate approach, with standard linear models (VAR models and VECM ones in case of cointegration, possibly included in dynamic networks). Principles of Difference-in Difference (causal) analyses are recalled.

    Professor : Catherine Bruneau (Professor of Economics - University Paris 1 Panthéon-Sorbonne)

    Student assessment: Final exam (50%) + numerical implementation related to one of the topics of the course (50%)

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    Pré-requis obligatoires

    Prerequisite (summer) reading: stationary ARMA, VAR, ARCH models, Unit Root tests

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    Syllabus

    1.1  Stationarity ARMA and VAR (review) (Session 1& 2)

    1.2  Introduction to ARCH models (review) (Session 3 )

    1.3  Difference-in-Difference analysis (Session 4)

    1.4  Introduction to non-linear models: the case of STR models (Session 5)

    1.5 Multivariate systems (Session 6)

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