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IESEG School of Management ( IÉSEG )

Code Cours :



Niveau Année de formation Période Langue d'enseignement 
Professeur(s) responsable(s)E.DOR , P.MAZZA
Intervenant(s)Deniz ERDEMLIOGLU, Paul ZIMMERMANN

Pré requis

- Specificity and functioning of the various financial markets
- Basics of pricing securities, especially stocks and bonds
- Intermediate level in econometrics (multiple regression with the method of Ordinary Least Squares; OLS assumptions - homoskedasticity, multicollinearity, autocorrelation of error terms; inference and hypothesis testing)
- Some knowledge of Econometrics software is encouraged (example: EViews, R, Matlab)

Objectifs du cours

- Program specific Objectives: Be competent in the field of finance, rigorous and committed to quality (Master the appropriate techniques and display expertise in the field)
- Understand and interpret the main characteristics of financial time series and data
- Analyze in depth the movements of asset price dynamics, returns and volatility
- Compare and contrast the performance of different econometric techniques to model financial data
- Learn practical tools and econometric software to apply theory into practice
- Designing risk assessment frameworks to apply for potential managerial solutions

Contenu du cours

- Session 1: Introductory Background and Fundamentals Concepts
- Session 2: Market Efficiency
- Session 3: ARMA Models
- Session 4: Divident-Price Cointegration and Empirical Tests
- Session 5: Volatility Models
- Session 6: Econometric Tools for Risk management and Measurement

Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00  
Independent work
Reference manual 's readings7,00  
Independent study
Group Project20,00  
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Research
  • Project work
  • Interactive class


Short written exam + final project

Type de ContrôleDuréeNombrePondération
Continuous assessment
Mid-term exam1,50240,00
Group Project0,00160,00
TOTAL     100,00


  • Brooks, C. (2014). Introductory Econometrics for Finance, 3rd Edition, Cambridge University Press. -

  • Wooldridge, J. (2012). Introductory Econometrics : A Modern Approach, 5th Edition, South-Western. -

  • Greene, W.H. (2011). Econometric Analysis : International Edition, Pearson Education. -

  • Cryer, J.D., and Kung-Sik, C. (2008). Time Series Analysis With Applications in R, 2nd Edition, Springer Texts in Statistics, Springer. -

* Informations non contractuelles et pouvant être soumises à modification
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