Financial Econometrics

Concentration: Quantitative
Academic Year: 2022-2023
Semester: First
Required/Elective: Required
Prerequisite(s): Asset Pricing I
Course Hours / Week: 3 hours per week / 8 weeks

The course complements with a summary of the main time series models related to the financial sector, reviewed the concepts of stationarity, unitary root, process RW and RB, profit and loss functions (returns) are built, it’s analized the individual volatility and of the portfolio with asymmetric GARCH models (ie EGARCH, GJR, TARCH, etc) and Multivariate GARCH models (ie BEK or CCC). For an analysis of stress testing and backtesting, the EVT (Extrem Value Theory) models and conditional coverage tests are considered, respectively, for these last two techniques, an study in depth of the R, MATLAB or SCILAB software is considered. Backtesting tests are they extend to being conditional and non-conditional (ie Kupiec, Christoffersen, LR, etc.).




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