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Course: 2023/2024

Dynamic and financial econometrics

(13187)

Bachelor in Business Administration (2008 Study Plan) (Plan: 147 - Estudio: 204)

Coordinating teacher: RUIZ ORTEGA, ESTHER

Department assigned to the subject: Statistics Department

Type: Electives

ECTS Credits: 6.0 ECTS

Course:

Semester:

Requirements (Subjects that are assumed to be known)

Statistics I Statistics II

Objectives

The student will learn the basics of dynamic data analysis by studying models. These models will be implemented to solve real-life economic and finance problems to illustrate innovative ways to make business more efficient. In particular, the concepts will be implemented mainly in the analysis of macroeconomic and financial variables. In this sense, student will know how to measure, for example, the dependence of the uncertainty of the price of a particular stock with respect to the past. In addition, the models will be used to contrast different theories and financial models as, for example, the test of the efficiency of a given market, the estimate of the value at risk of an asset. Interpretation of data. Use of software designed for the analysis of data.

Description of contents: programme

CHAPTER 1. BASIC CONCEPTS BASICOS IN TIME SERIES ANALYSIS 1.1 Characteristics of time series data: dependence and correlation 1.2 Stationarity and transformations 1.3 Univariate linear models: ARIMA 1.4 Estimation and diagnosis of ARIMA models CHAPTER 2. MULTIVARIATE LINEAR MODELS 2.1 VAR model 2.2 Non-stationary models: cointegration 2.3 Dynamic regression models CHAPTER 3. NONLINEAR MODELS 3.1 Characteristics of financial variables 3.2 Univariate GARCH models 3.3 Multivariate GARCH models

Learning activities and methodology

The course will have a face-to-face part classroom where both blackboard and audiovisual media are used to present the main concepts. In addition, there will be practical classes in computer classrooms where students will learn to use the software necessary to implement models in real data.

Assessment System

60% of the final grade will be obtained in the final exam. It will be necessary to get at least 5 points out of 10 in that final exam to pass the course. 40% remaining from the final grade corresponds to the continuous evaluation of the knowledge and skills acquired by the student at the theoretical level and in the resolution of practical problems and data analysis. This continuous evaluation will consist of two partial tests. Each of them corresponds to 20% of the final grade

% end-of-term-examination 60
% of continuous assessment (assigments, laboratory, practicals...) 40

Calendar of Continuous assessment

Basic Bibliography

BROOKS, C.. Introductory Econometrics for finance. Cambridge University Press (2002).
González-Rivera, G.. Forecasting for Economics and Business. Pearson/Addison-Wesley. 2013
Peña, D.. Análisis de series temporales. Alianza Editorial. 2005

Additional Bibliography

MILLS, C.T.. The econometric modelling of financial time series. Cambridge University Press (1999).
RUIZ, E.. Modelos para series temporales heterocedásticas. Cuadernos Económicos de ICE (1994).

The course syllabus may change due academic events or other reasons.