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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 students 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
- and 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
- Emirical study (80%)
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 (20%)
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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| At no time is it tolerated to use materials from former academic years or other sources. No plagiarism of any kind will be tolerated. |
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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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