Dr Christian Julliard

Prof Alexey Onatskiy

This course is compulsory on the MRes/PhD in Finance. 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.

Part 3 - The course provides a survey of the theory and application of time series methods in econometrics. The main objective of this course is to develop the skills needed to do empirical research in fields operating with time series data sets. The topics covered are: Hilbert spaces, projections, Wold theorems, ARMA models, Z-transform, convolution theorem, W-K prediction, Spectral analysis; Structural VAR Models; State Space Representations; Models with time-varying coefficients and stochastic volatility; Nonlinear filtering (particle filters); Unit Roots, Spurious Regressions and Cointegration; Predictability.

22 hours of lectures in the AT. 22 hours of lectures in the WT.

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.

• Sargent, T., (1987), Macroeconomic Theory, chapters IX-XI.

• Wooldridge: Econometric Analysis of Cross-Section and Panel Data.

Exam (100%, duration: 3 hours, reading time: 15 minutes) in the spring exam period.