ebook img

Lecture Notes Financial Econometrics Professor - Pluto Huji Ac Il PDF

567 Pages·2016·3.75 MB·English
by  
Save to my drive
Quick download
Download
Most books are stored in the elastic cloud where traffic is expensive. For this reason, we have a limit on daily download.

Preview Lecture Notes Financial Econometrics Professor - Pluto Huji Ac Il

Financial Econometrics Lecture Notes Prof. Doron Avramov The Jerusalem School of Business Administration The Hebrew University of Jerusalem Introduction: Why do we need a course in Financial Econometrics? 2 Prof. Doron Avramov, The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Financial Econometrics Syllabus: Motivation The past few decades have been characterized by an extraordinary growth in the use of quantitative methods in the analysis of various asset classes; be it equities, fixed income securities, commodities, and derivatives. In addition, financial economists have routinely been using advanced mathematical, statistical, and econometric techniques in a host of applications including investment decisions, risk management, volatility modeling, interest rate modeling, and the list goes on. 3 Prof. Doron Avramov, The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Financial Econometrics Syllabus: Objectives  This course attempts to provide a fairly deep understanding of such techniques. The purpose is twofold, to provide research tools in financial economics and comprehend investment designs employed by practitioners. The course is intended for advanced master and PhD level students in finance and economics. 4 Prof. Doron Avramov, The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Financial Econometrics Syllabus: Prerequisite  There is a pre-requirement course in Investments and Securities.  I will assume prior exposure to matrix algebra, distribution theory, Ordinary Least Squares, Maximum Likelihood Estimation, Method of Moments, and the Delta Method.  I will also assume you have some skills in computer programing beyond Excel. MATLAB and R are the most recommended for this course. OCTAVE could be used as well, as it is a free software, and is practically identical to MATLAB when considering the scope of the course. If you desire to use STATA, SAS, or other comparable tools, please consult with the TA. 5 Prof. Doron Avramov, The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Financial Econometrics Syllabus: Grade Components Assignments (36%): there will be two problem sets during the term. You can form study groups to prepare the assignments - up to four students per group. The assignments aim to implement key concepts studied in class. Class Participation (14%) - Attending AT LEAST 80% of the sessions is mandatory. Otherwise, you will not get credit for this course. In addition, 4 points will be reduced for any missing session without proper documentation. Take-home final exam (50%): based on class material, handouts, assignments, and readings. 6 Prof. Doron Avramov, The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Financial Econometrics Syllabus: Topics to be Covered - #1 Overview: Matrix algebra Regression analysis Law of iterated expectations Variance decomposition Taylor approximation Distribution theory Hypothesis testing OLS MLE 7 Prof. Doron Avramov, The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Financial Econometrics Syllabus: Topics to be Covered - #2 Time-series tests of asset pricing models The mathematics of the mean-variance frontier Estimating expected asset returns Estimating the covariance matrix of asset returns Forming mean variance efficient portfolio, the Global Minimum Volatility Portfolio, and the minimum Tracking Error Volatility Portfolio. 8 Prof. Doron Avramov, The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Financial Econometrics Syllabus: Topics to be Covered - #3 The Sharpe ratio: estimation and distribution The Delta method The Black-Litterman approach for estimating expected returns. Principal component analysis. 9 Prof. Doron Avramov, The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Financial Econometrics Syllabus: Topics to be Covered - #4 Risk management and downside risk measures: value at risk, shortfall probability, expected shortfall (also known as C-VaR), target semi-variance, downside beta, and drawdown. Option pricing: testing the validity of the B&S formula Model verification based on failure rates 10 Prof. Doron Avramov, The Jerusalem School of Business Administration, The Hebrew University of Jerusalem, Financial Econometrics

Description:
Lecture Notes. Financial Econometrics Financial market participants, both academics Why do we need a course in financial econometrics? • Normal
See more

The list of books you might like

Most books are stored in the elastic cloud where traffic is expensive. For this reason, we have a limit on daily download.