AØKA08152U  Financial Econometrics A: Univariate Models for Volatility

Volume 2013/2014
Education
BSc in Economics
MSc in Economics
Content
An outline of the contents:
  • Properties and stylized facts of univariate asset returns and their variability.
  • Analysis and discussion of volatility models such as GARCH-type models and stochastic volatility (SV) models as well as realized volatility (RV) and switching volatility models. In particular, stochastic properties of the processes will be discussed.
  • Estimation of volatility and volatility models based primarily on (quasi) maximum likelihood. This includes application of the EM-algorithm as well as the Kalman-filter.
Learning Outcome
Applying and understanding volatility models such as the well-known ARCH, GARCH and stochastic volatility models require a background of fundamental methodological concepts such as estimation, stochastic properties of time series as well as simple programming. The aim of the course is to provide students with an introduction to these issues in financial time series analysis such that, on the one hand, volatility models can be implemented and discussed, while at the same time advanced financial econometric models can be approached. This is achieved by analyzing implementation and theory of univariate volatility models.
After completion of the course the student will specifically be able to:

  1. Analyze and discuss classic univariate volatility models and volatility modeling in financial econometrics.
  2. Analyze and discuss stochastic properties of the models.
  3. Implement estimation of volatility and volatility models.
Syllabus
The course will be based on S. J. Taylor, Asset Price Dynamics, Volatility and Prediction, Princeton University Press, 2007 or 2005 edition, as well as lecture notes by Anders Rahbek handed out during term.
Supplementary reading: Tsay, Analysis of Financial Time Series. Wiley, 2005.
Econometrics C or similar. This may be followed at the same time.
4 hours of lectures and 2 hours of classes per week in 14 weeks.
Credit
10 ECTS
Type of assessment
Written examination, 3 hours under invigilation
A 3 hours written examination taking place at Peter Bangs Vej 36.
Exam registration requirements
During the semester there will be a number of small hand-in exercises that have to be accepted.
Aid
Written aids allowed
Marking scale
7-point grading scale
Censorship form
External censorship
20 % censurship
Exam period
Will be updated before the start of the semester
Re-exam
Same as ordinary. But if only a few students have registered for the re-exam, the exam might change to an oral exams with a synopsis to be handed in. This means that the examination date also will change.
Criteria for exam assesment
The Student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
  • Category
  • Hours
  • Lectures
  • 56
  • Class Exercises
  • 28
  • Preparation
  • 188
  • Exam
  • 3
  • Total
  • 275