Courses

Econometrics II

Description & Syllabus

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Assignments

Homework I
Homework II
Homework III

Data Sets

Winzip Download For Eview Files

Slides

Arch Garch Model

Handouts

10.15.02 - Amin & Ng, Hull & White
10.22.02 - Duan, Rosenberg & Engle
11.5.02 - Engle & Susmel
11.26.02 - Engle & Russel

Futures and Options

Details to come.

Financial Theory II

Syllabus
Outline
Assignments

Volatility Spring 2006

The most fascinating aspect of financial market prices is their volatility. Students will learn how to measure and forecast financial volatility. They will become proficient with ARCH/GARCH models, exponential smoothing and historical volatilities. These tools will be used to measure risk and analyze alternative approaches to calculating Value at Risk. Implied volatilities from options will be introduced and compared statistically and economically. Then the course will turn to the multi-asset problem and discuss traditional and new approaches to measuring and forecasting correlations. These tools will be applied to the problem of dynamic portfolio selection and risk control.

The course will be run on Blackboard; all assignments and course materials will be posted there. The course will have several homework problems. These will be submitted electronically. There will be a final exam and in-class QuickQuizzes. These QQ’s will take about 5 minutes at the beginning of every class and cover the previous lecture. The worst will be dropped but there are no make-ups.

Prerequisites: Foundations of Finance and a familiarity with simple probability and statistics including least squares regression. There will be substantial use of the EViews econometric software which is available in the computer labs.

Grading

Final 50%
Homework 30%
QuickQuizzes 20%

Topics - one week each

Financial Volatility - Causes, Consequences, and Global Patterns
ARCH/GARCH Models and their extensions Value at Risk Estimation, Downside Risk and Credit Risk
Options Implied Volatility and its properties. And now Variance Swaps
Correlation Models – Applications and Examples
Portfolio Optimization and Trading