Mr Andrea Tamoni OLD M2.09 and Dr Christian Julliard OLD M2.18

Dr Aureo De Paula

This course is compulsory on the MRes/PhD in Finance (Route 1) and MSc in Finance and Economics (Research). This course is available as an outside option to students on other programmes where regulations permit.

Optional on MRes/PhD Economics.

Strong background in statistics and mathematics; some knowledge of Economics and Finance.

The Lent Term of FM481 is shared with FM404 Forecasting Financial Time Series.

Part 1 – Probability, Mathematical Statistics, and Asymptotic Theory, provides students with an understanding of basic concepts in probability and statistics with a view of eventual use for econometric analysis of financial data. Including Basic Probability Concepts, Random Variables, Selected Probability Distributions, Modes of Convergence, Properties of Estimators, Frequentist Hypothesis Testing and Bayesian Inference.

Part 2 - Theory and application of regression analysis, covers estimation and inference theory for regression models. The topics covered are least squares estimation, maximum likelihood estimation, instrumental variable estimation, and generalized method of moments estimation, with applications to linear models, many and weak instrument problems, limited dependent variable models, and panel data models.

20 hours of lectures in the MT. 36 hours of lectures in the LT.

Weekly classwork and problem sets.

Cameron and Trivedi: Microeconometrics. Methods and Applications.
Campbell, Lo and MacKinlay: The Econometrics of Financial Markets
Geweke: Contemporary Bayesian Econometrics and Statistics
Gourieroux and Jasiak: Financial Econometrics: Problems, Models and Methods.
Greene: Econometric Analysis.
Johannes and Polson: Computational Methods for Bayesian Inference.
Hamilton: Time-Series Analysis.
Hayashi: Econometrics
Roberts and Whited: "Endogeneity in Empirical Corporate Finance," Handbook of the Economics of Finance, vol. 2.
Wooldridge: Econometric Analysis of Cross-Section and Panel Data.

Exam (100%, duration: 3 hours) in the main exam period.