GDOC0007-1 : Contemporary Issues in Empirical Finance

Study Programmes 2015-2016

GDOC0007-1

Contemporary Issues in Empirical Finance

Duration :

30h Th

Number of credits :

Doctoral training in economics and business management (Sciences de gestion)		5

Lecturer :

Aline Muller

Language(s) of instruction :

English language

Units courses prerequisite and corequisite :

Prerequisite or corequisite units are presented within each program

Course contents :

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.

Learning outcomes of the course :

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.

Prerequisite knowledge and skills :

Planned learning activities and teaching methods :

The course is working-group-style with active discussions of many practical examples and quantitative case-studies.

Mode of delivery (face-to-face ; distance-learning) :

The course is group-meeting style. Some topics will be handled through distance learning.