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FINANCIAL ECONOMETRICS

Part II

Program

Updated A.Y. 2016-2017

The course will cover three main topics

1. State space models, Maximum likelihood estimation, Univariate and Multivariate Stochastic Volatility
2.  Forecast evaluation: Introduction: schemes, number of observations, in vs out of sample, measures of accuracy (MSFE, MAFE, forecast encompassing).
3. MIDAS: MIxed DAta Sampling. Introduction. Forecasting with mixed (and high) frequency data.

References 

  The main references will be given during course and the relevant papers will be uploaded in the Teaching material section