Financial Econometrics

A compulsory course of the second semester of the Master’s Programme “Banking-Insurance and Finance”.

Course details

Code: MBAF09
Semester: 2nd
Credits: 5 ECTS
Teaching hours: 2 per week (lectures and practical exercises)
Course type: Specialisation Course (ME)
Prerequisites: none
Language of teaching and examinations: Greek and/or English
Offered to Erasmus students: yes, upon relevant request
Mode of delivery: distance learning, synchronous and asynchronous
Total workload: 150 hours
Taught by: Chaido Dritsaki

Learning outcomes

The Financial Econometrics course focuses on the teaching of linear algebra, statistics and econometric techniques that allow quantitative conclusions to be drawn from empirical financial data
Extensive reference is made to the empirical investigation of the validity of financial theories and to making forecasts using financial econometric models

Syllabus

Basic concepts (Time series, Stochastic process, White noise, Random walk, Integrated time series, Spurious regressions)
Stationarity / Unit root tests (Applications with the Eviews econometric package)
AR, MA, ARMA, ARIMA models
Box-Jenkins methodology
Forecasting
ARCH-GARCH models
Efficiency, predictive ability and volatility of financial time series
Testing market efficiency and the time varying risk premium: shares, bonds, exchange rates

Assessment

Assessment is carried out in two ways: the preparation of assignments, counting for up to 30% of the total mark — the structure and presentation of the text, the quality of the analysis and the bibliographical references are taken into account above all — and a written final examination, counting for 70%. Language of assessment: Greek.