Course overview 

The course covers several theoretical and empirical topics in financial econometrics providing a comprehensive presentation of the econometric methods applied to finance. Topics include: forecasting and forecast evaluation, estimation methods such as GMM and MLE, univariate and multivariate GARCH models, and realised and stochastic volatility models, 
measurement techniques and tests for contagion, principal components and factor analysis, the use of Autometrics in model selection in presence of a large number of regressors. The theory is illustrated in practice modelling interest rates, asset prices and forex time series at several temporal frequencies.

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Benefits
■ You will be introduced to the statistical analysis of time series, autoregressive–moving-average (ARMA) models, and forecasting evaluation criteria
■ You will learn theoretical and practical tools of univariate, multivariate GARCH volatility models
■ You will learn to identify and measure contagion between markets
■ You will be taught theoretical and practical tools of high frequency data and the impact of market announcements
■ You will practise on practical econometric and financial problems

Target audience
This course is particularly useful to professionals working in the financial  industry, consultancy firms, Central Banks, regulatory authorities, public and 
private research centres.

Course prerequisites
Participants are expected to have a quantitative background. Knowledge of the fundamentals of econometrics, derivatives, quantitative asset pricing theory will help participants to obtain the maximum benefit from the course.

Registration, payment and cancellation policy
Payment of course fees is required prior to the course start date. In case a course is cancelled, registered participants will receive the full refund. Registration closes 7-calendar days prior to the start of the course