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Be English-friendly or any other language-friendly means that UC is taught in a language but can either of the
following conditions:
1. There are support materials in English / other language;
2. There are exercises, tests and exams in English / other language;
3. There is a possibility to present written or oral work in English / other language.
1
6.0
0.0 h/sem
24.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
1.0 h/sem
25.0 h/sem
125.0 h/sem
0.0 h/sem
150.0 h/sem
Since year
2016/2017
Pre-requisites
Fundamental Econometrics Econometric Methods
Objectives
At the end of this course students should be able to apply linear and nonlinear econometric models to analyze financial time series data
Program
1. Dynamic models, stationarity and unit root 2. Univariate and multivariate GARCH-type models 3. Cointegration, structural breaks and VEC models 4. Threshold models 5. Introduction to panel data models
Evaluation Method
Individual research work. Mandatory oral presentation: 30%; job content: 70%. The deadline for the written report is one week after the oral presentation. Failure to comply with any of these deadlines will result in a corresponding grade of zero. Since the evaluation is based on individual work, there is no 2nd chance exam. More information will be given during the semester.
Teaching Method
? During the learning-teaching term each student should acquire analytical, information gathering, written and oral communication skills, according to the established learning outcomes for this unit ? To contribute to the acquisition of these skills the following learning methodologies (LM) will be used: expositional, active, experimental and self-study
Observations
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Basic Bibliographic
1. Campbell, J.Y., Lo, A.W. and MacKinlay, A.C. (1997), The Econometrics of Financial Markets, Princeton University Press: Princeton, NJ. 2. Cochrane, J.H. (2005), Asset Pricing, Princeton University Press: Princeton, NJ.
Complementar Bibliographic
1. Financial Econometrics: Brooks, C. (2002); Cuthbertson, K. (1996); Gourieroux, C. and Jasiak, J. (2001); Blake, D. (2001). 2. Econometrics: Hayashi, F. (2000); Davidson, J. (2000); Greene, W. (2011).
