Financial Econometrics

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%)

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

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)