Financial Econometrics

Course description


This course applies modern econometric methods to current questions from the field of finance, risk management and commodity markets. We will both explore the theoretical dimensions of the models used as well as apply the methods to real-life datasets. Participants learn the basic and advanced methods of financial econometrics. They apply the methods using datasets and thereby learn both the application of econometric methods as well as the caveats associated with real-life data, data gathering and data mining. The use of the industry-specific programming language Python for econometric analysis is an essential part of this course.

 

Program Takeaways


Data gathering, scraping, cleaning

Regression Analysis (Linear, Quantile, LASSO, etc.)

GARCH Models

Time Series Models and Forecasting

Practical skills using Python

 

Tools


 Python on our JupyterHub

  GitLab to collaborate on code

 

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