Financial Econometrics 

Professor:	Olivier Scaillet  (Uni Pignon 411)
Assistant:	Matthieu Tarbé (Uni Pignon 303)

Grading: Final Grade = 70% exam + 30% Max(seminar participation, exam)

Notes

Please follow the Nuvolos course webpage for the course organization details such as time slots, dates, video conference invitations, rooms, as well as what to do for next week. The Nuvolos invitation link is sent to students of Master programs in the beginning of September. If you are enrolled to the course and do not have the link, please contact the assistant by email.

Slides

Download all slides

Introduction Screencast

Static (Marginal) Analysis

A.I.	Descriptive Statistics Screencast
A.II.	Kernel Estimation of Densities Screencast
A.III.	Asymptotic Properties Screencast
A.IV.	Linear Regressions Screencast
A.V.	Application to CAPM Screencast
A.VI.	Application to APT Screencast
A.VII.	Life Cycle Models and CCAPM Screencast
A.VIII.	Optimisation Algorithms Screencast
A.IX.	Kernel Estimation of Cond. Mean Screencast
A.X.	Applications: Sensitivity Analysis of VaR and ES Screencast
A.XI.	Introduction to Extreme Value Theory Screencast
A.XII.	Scoring Procedures Screencast
A.XIII.	Bootstrap Procedures Screencast

Dynamic (Conditional) Analysis

B.I.	Stationary Processes Screencast
B.II.	Innovation of a Process Screencast
B.III.	ACF, PACF and ARMA Models Screencast
B.IV.	Nonlinear AR Models Screencast
B.V.	Conditional VaR and ES Screencast
B.VI.	ARCH Models Screencast
B.VII.	Stochastic Volatility Models Screencast
B.VIII.	Exponential Smoothing Methods
B.IX.	Multivariate Extensions
B.X.	Non-stationary Series
B.XI.	ARFIMA Models
B.XII.	Cointegration

Figures: pdf1, pdf2
pdf1, pdf2 (printer-friendly format)

Exercises

· Introduction to MATLAB

· TP 1 Returns Analysis / Solution

· TP 2 Estimation of Densities   /  Solution

· TP 3 Asymptotic Properties  /  Solution

· TP 4 CAPM  (2 Sessions)   /  Solution

· TP 5 Optimization / Solution

· TP 6 VaR / Solution

· TP 7 Extreme Value Theory / Solution

· TP 8 Asymptotics / Solution

· TP 9 ACF, PACF and ARMA / Solution

· TP 10 ARCH / Solution

· TP 11 Testing Stationarity / Solution

Additional Material

References - Econometrics & Statistics Resources

References - Background Material on Financial Markets and Famous Risk Blunders

References - Interviews and Quizz

Review Quiz - English French

Exemples de questions d'examen (French)

Geneva exam 2014 (English)

Probability/Statistics Review

Brainteasers

· Additional exercises and answers to prepare for the exam may be found in the book "La Gestion d'Actifs Quantitative" by T. Roncalli. Exercises may be found in this link

· To see why VaR sensitivities may be seen as conditional expectations, you may wish to look at the following article by Hong (page 121), and Scaillet et al.

· Here is a link to Yale open courses which can serve as introductory/refresher courses.

· Visit the virtual Museum of Money and Financial Institutions.

· For resources on Job & Education in Quantitative/IT Finance and Maths see this website (French or English version).

· An interesting paper on the social benefits of Finance, link.

· What is the p-value? Here the latest ASA statement on the topic.