Econometría Financiera

Objetivo

This course aims to familiarise students with modern econometric techniques relating to the analysis of financial time series. The interaction between economic theory and econometric analysis is emphasized, and students will be trained in formulating, estimating and testing models for financial time series.

Temas Centrales

Develop and analyse simple models for stationary univariate time series. Understand the principles and applications of VAR modelling and use them in practice. Understand the implications of nonstationarity for econometric modelling and know how to choose appropriate models for nonstationary and cointegrated time series. Develop and analyse simple models of dynamic heteroscedasticity. Understand the implications of structural breaks and unobserved components in econometric modelling. Use standard econometrics packages and interpret their output. Understand and critically assess empirical findings reported in the applied financial economics and finance literature.

Profesor

MARTÍN SOLÁ

Ph.D. in Economics, University of Southampton. Profesor full-time y ex director del Departamento de Economía, UTDT. Se especializa en econometría financiera. Lleva publicados más de 40 papers en las más prestigiosas revistas especializadas. Fue nombrado Distinguished Author por el Journal of Applied Econometrics. En 2006, obtuvo el Arrow Prize for Senior Economists que entrega anualmente Berkeley Electronic Press.