Empirics of Financial Markets 2400-QFU2EFM
1.Introduction - basic concepts in quantitative finance
2-3. Efficiency of financial markets: the concept and its empirical testing
4-5. Are returns forecastable? Random walk as a model and its empirical verification.
6-7. Model definition of normal and excessive returns: CAPM and its extensions, APT. Empirical examples.
8. Volatility modelling: ARCH and GARCH models
9. Term structure of the interest rates (yield curve)
10.FX market: exchange rate theories and their tests.
11-15. Students' presentation of their assignments.
Type of course
Prerequisites (description)
Course coordinators
Learning outcomes
Students are able to model and to forecast prices and returns of basic financial assets (equity, debt instruments, fx) in a comprehensive manner, including designing the research, building and estimating the propoer model, interpreting its results and reporting the outcome of the whole exercise.
KW03, KW05, KW02, KU02, KU03
Assessment criteria
Students have to present a review of one of seminal papers selected from the offered list and to prepare individual work - an empirical study of prices or returns for some financial markets covered by the course, i.e. equity, debt or fx. Assessment of this work forms a major part of total assessment, which includes also a quality of students' presentation of her/his review of a paper and his/her work in the class
Bibliography
Required:
Cuthbertson, Nitzsche, 2004, Quantitative Financial Economics, Wiley
Brooks, 2005, Introductory Econometrics for Finance, Cambridge
Suggested:
Campbell, Lo, MacKinlay, 1997, The Econometrics of Financial Markets, Princeton
Gourieroux, Jasiak, 2001, Financial Econometrics, Princeton
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: