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ECONOMETRICS FOR ASSET & RISK MANAGERS

2016-2017

IESEG School of Management ( IÉSEG )

Code Cours :

1617-IÉSEG-M1S2-FIN-MA-FE77UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Master1S2English
Professeur(s) responsable(s)E.DOR , P.MAZZA
Intervenant(s)Eric DOR, Paolo MAZZA


Pré requis

random variables, expectation, variance, covariance, correlation, probability laws, density functions, cumulative distribution function, marginal distribution, conditional distribution, conditional expectation, linear approximation, Normal distribution, Student distribution, Fischer distribution,
statistical inference, estimation, maximum likelihood estimation, linear regression, OLS estimation, use an econometric software to produce original econmetric estimation outcomes, properties of estimators, unbiasedness, convergence, hypotheses tests, confidence intervals

Objectifs du cours

At the end of the course, the student should be able to :
- use an econometric software to produce original econometric estimation outcomes
- select the appropriate econometric estimation techniques when dealing with a specific problem with real financial data time series
- interpret econometric estimation and testing outcomes
- conduct event studies based on stock market data
- use stochastic volatility models with real financial data

Contenu du cours

Specification and estimation of a linear model in a stationnary stochastic environment, with an application to CAPM and factorial models
Event studies, with an application to surprise profit announcements on the stock market
Stochastic processes and unit root tests, with an application the to efficiency of the stock markets
Cointegration with an application to the carbon market
Stochastic volatility models with an application to exchange rates


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00  
Independent work
E-Learning20,00  
Independent study
Group Project14,00  
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • E-learning
  • Research
  • Project work
  • Interactive class
  • Case study


Évaluation

Type de ContrôleDuréeNombrePondération
Continuous assessment
QCM2,00150,00
Others
Written Report0,00150,00
TOTAL     100,00


Ressources internet



 
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