Financial Econometrics 

(Fall 2019)

 

Professor:

           Olivier Scaillet (Uni Pignon 411)

Assistant:

            Gaetan Bakalli (Uni Mail 3209)  & Alain-Philippe Fortin

Course:

            
                                                             Room :
             
            17 September 12-14                 M5220
            25 September 10-12                 M2130


            01 October 12-14                     M5220
            02 October 10-12                     M2130
            16 October 10-12                     M2130
            22 October 12-14                     M5220

            23 October 10-12                     M2130

            29 October 12-14                     M5220

            30 October 10-12                     M2130

            20 November 10-12                  M2130


            03 December 12-14
                  M5220

            04 December 10-12                  M2130

            11 December 10-12                  M2130


       

Seminars:

             Computer room 4290

            17 September 16-18

            24 September 16-18


            01 October 16-18
            08 October 16-18
            15 October 16-18

            22 October 16-18

            39 October 16-18

 

            12 November 16-18
            19 November 16-18
            26 November 16-18


            03 December 16-18
            10 December 16-18
            17 December 16-18         

Reception hours:

            Tuesday 18-19 @  Uni Mail  3209   (get appointment by e-mail)

Notation:

             final mark = 70% exam + 20% Max(project, exam) +

                                   10% Max(participation seminars, exam)

 

Slides

Introduction

Static (Marginal) Analysis

A.I.

Descriptive Statistics

A.II.

Kernel Estimation of Densities

A.III.

Asymptotic Properties

A.IV.

Linear Regression

A.V.

Application to CAPM

A.VI.

Application to APT

A.VII.

Life Cycle Models and CCAPM

A.VIII.

Optimisation Algorithms

A.IX.

Kernel Estimation of Cond. Mean

A.X.

Applications: Sensitivity Analysis of VaR and ES

A.XI.

Introduction to Extreme Value Theory

A.XII.

Scoring Procedures

A.XIII.

Bootstrap Procedures

Dynamic (Conditional) Analysis

B.I.

Stationary Processes

B.II.

Innovation of a Process

B.III.

ACF, PACF and ARMA Models

B.IV.

Nonlinear AR Models

B.V.

Conditional VaR and ES

B.VI.

ARCH Models

B.VII.

Stochastic Volatility Models

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)

·        TP 5 Optimization 

·       TP 6 VaR  / Solution 

·       TP 7 Extreme Value Theory

·       TP 8 Asymptotics 

·       TP 9 ACF, PACF and ARMA

·       TP 10 ARCH

·       TP 11 Testing Stationarity

 

 

 

 

 

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

NEWS – Announcements

·       The lectures, the exercise sessions and the exam are IN ENGLISH. The exercise sessions will consist in a brief explanation of the exercise, and then the students solve the problems using MATLAB with the help of the assistant.

·       Check this page OFTEN. All class-related announcements will appear here!

·       Brain Teasers: To give you some preparation for job interviews in finance (and have some fun too!), a section called Brainteasers after the Probability/Statistics review has been added. You may find some logic questions that have been asked to students looking for jobs in finance. Feel free to send to us your solutions!

·       About the Project: The idea is that you choose an empirical question to work on, and get it approved by Prof. Scaillet or the assistant. The project should involve the same amount of work as a long exercise, and you are expected to write a 2-3 page report, along with your Matlab code. Project due date is the last class of the semester (December 21st ). Groups of maximum 3 students are allowed.

 

·       The exercise sessions are MANDATORY. You have to sign the attendance sheet and attempt the exercises. You CANNOT sign the attendance sheet and leave shortly afterwards. If you do so, your participation in the seminar will not be counted. The only way to leave early and still obtain participation credit for the exercise is to show the COMPLETE results for the corresponding exercise to the assistant. 

 

·       Solutions to will be posted right next to the statement of the corresponding exercise shortly after the end of the exercise session.

Additional Material for the Exercises and Lectures

·       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

·       A great Introduction to MATLAB by  Kevin Sheppard is available here. We will also use Kevin Sheppard's Oxford MFE Toolbox , and Spatial Econometrics Toolbox later on, so you should start becoming familiar with this websites.

·       An online matlab course can be found here. Two nice (and longer) introductions to MATLAB IN FRENCH may be found here and  here. Another one is here. Also, additional Matlab practice from Prof. Paul Söderlind's website can be downloaded here.

·       If you would like to get a software similar to MATLAB, Octave is a good (FREE!) alternative. You can download it here. Choose the "Windows Installer" version. Then you have to choose the release version and donwload a .exe file that will install Octave automatically in your computer. Octave is not as nice-looking as MATLAB, but they are (almost) equally powerful. MATLAB is installed in the university's computers, but unfortunately it IS NOT available through etuGDL. If you still want to get MATLAB, you may buy the student version from MathWorks.

·       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.