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| GDOC0007-1 | Contemporary Issues in Empirical Finance
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| Duration : | 30h Th |
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| Number of credits : |
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| Lecturer : | Aline Muller |
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Language(s) of instruction :
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| English language |
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Organisation and examination :
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| All year long |
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Course contents :
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| This doctoral program course focuses on empirical market risk analysis. It provides a detailed an in-depth analysis of the wide range of techniques that are commonly used to characterize risk, return patterns, and price behaviors in financial markets. This course provides a comprehensive and in-depth treatment of the theoretical concepts and modeling techniques in quantitative finance.
We will cover equity factor models, volatility and correlation, GARCH, cointegration, Markov-switching and quantile regression models. |
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Learning outcomes of the course :
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| At the end of this course students will be able to
- understand and estimate single and multi-factor models,
- decompose the risk of financial instruments,
- measure and model variance, volatility, covariance and correlation,
- estimate time-varying sensitivities,
- understand the wide series of GARCH modeling techniques,
- understand and estimate cointegration models,
- understand and estimate quantile regressions,
- understand and estimate markov-switching models,
- estimate the goodness-of-fit of their modeling,
- perform in-sample and out-of-sample tests.
Specific skills and competences trained during this course. At the end of this course student will have:
- Developed their theoretical modeling skills,
- Developed their econometric skills,
- Strengthened their ability to research autonomously and methodically the information needed to solve a complex modeling problem
- Developed their understanding and ability of using modelization methods
- Developed team work abilities
- Developed their critical sense (arguing)
- Strengthened their capacity for creative conception of solutions
- Strengthened their professional capacity for oral communication
- Strengthened their professional capacity for written communication |
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Prerequisites and co-requisites/ Recommended optional programme components :
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Planned learning activities and teaching methods :
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| The course is working-group-style with active discussions of many practical examples and quantitative case-studies. |
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Mode of delivery (face-to-face ; distance-learning) :
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| The course is group-meeting style. Some topics will be handled through distance learning. |
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Recommended or required readings :
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| The required textbook that will be used throughout the course is:
Market Risk Analysis: Practical Financial Econometrics by Carol Alexander ISBN-10: 0470998016 | ISBN-13: 978-0470998014 | Edition: Volume II |
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Assessment methods and criteria :
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| The final grade will be determined by
- Case-studies and Problem sets (70 %)
Ability to understand and be able to use single and multi-factor, correlation and volatility, GARCH, cointegration, Markov-switching and quantile regression models.
Ability to develop appropriate research designs to analyze contemporaneous empirical finance questions.
- Participation (30 %)
Attending class and actively discussing material in class
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Work placement(s) :
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| None |
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Organizational remarks :
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| The purpose of the course assignments is to understand issues, not to replicate answers. There are no "right answers" only good arguments and weak arguments supporting the decision to take specific actions.
Students are expected to do their own work (or work within their group). At no time is it tolerated to use materials from former academic years or other sources. No plagiarism of any kind will be tolerated.
The core materials for the course consist of the required textbook readings Other items such as problem sets will also be available on the course web page. Some additional readings on materials related to the course over the term may be provided throughout the course via the course web page.
Please refer to LOLA to access the course web page. http://lola.hec.ulg.ac.be |
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Contacts :
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| Aline Muller, Ph.D. | Ethias Chair in Asset & Risk Management | Professor of Finance
HEC - Management School of the University of Liège (Belgium) & Maastricht University (The Netherlands)
Rue Saint Gilles 35, Bldg. N2, B-4000 Liège Belgium
tel : 0032 4 232 7435 / fax: 0032 4 232 7376 / email : aline.muller@ulg.ac.be / website: www.finance.hec.ulg.ac.be |
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