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Forecasting in Finance: Methods, Evaluation, and Applications

Forecasting in Finance: Methods, Evaluation, and Applications


Course overview
The course covers several theoretical and empirical topics in financial econometrics, providing a comprehensive presentation of econometric methods used to model and forecast financial variables. Topics include: Concepts of forecasting, forecast evaluation, and forecasting of returns and volatility. Models and methods are implemented in MATLAB and applied to forecast returns and volatility as well as for risk management.

• Participants will learn how to evaluate and compare different forecasts as well as how to identify forecasting models with superior performance.

• Participants will learn different methods for return forecasting, from machine learning to factor models.

• Participants will be introduced to parametric and non-parametric tools and techniques for volatility modelling.

Target Audience
This course is useful to both professionals and researchers working in the financial industry, consultancy firms, Central Banks, public and private research centres.

Course Prerequisites Participants are expected to have a quantitative background. Knowledge of the fundamentals of econometrics, hypothesis testing, and 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.

Please use your University email address if purchasing City/Bayes students, Alumni, Staff or External students rate tickets.

A 15% discount is available for groups of three or more participants.

Please email [email protected] before purchasing your tickets if you are a group of three or more people. 

Please use your University email address to receive the student rate. 

Forecasting in Finance tickets - City/Bayes Students, Alumni, Staff


Forecasting in Finance tickets - External rate


Forecasting in Finance tickets - External students