Welcome to Analysis of Financial Data (Spring 2021)

This course will cover the basics of financial econometrics. It is the second time I teach this, and there have been a few changes from last year due to Covid 19 and the fact that this year it will be online. So it is still a work in progress.

The plan is to: 

1. Review of the linear regression model (classical, with IV, with dummy dependent variables)
2. Look at some time series models (distributed lag, ARMA, autoregressive distributed lag models) for univariate time series
3. Extend these to multivariate time series (VARs etc).
4. Introduce cointegration (in a painless way - I hope), and finally
5. investigate models in the arch family.

We will use Stata (from which you can get a licence from the school). Some familiarity with it is welcome but not necessary.

There is no prescribed textbook, as I could not find a suitable one at the right level  covering all or most of the topics. However, references and reading will be given in each lecture.

We will have an introduction to the course on Thu Feb 18 at 9am on Zoom. 

Last year I tried for the first time to use a pedagogical strategy called 'the flip classroom'. This year I would like to start to introduce it in this course. The idea behind is as follows. While in a traditional course you attend a lecture, say, from 9:00 to 12:00 and then go home to read the references and do some practice on your own, in a flipped classroom you decided when you attend an online lecture and read the references and then you come to class to do the practice with my and your colleagues help.

There two advantages for you in doing this:

• You take control. You can learn at your own pace, pausing, rewinding and rewatching the online lectures;
• You can collaborate and learn from each other and get help practicing what you have learned.

However, to benefit from this strategy you need to prepare in advance of the class by watching online videos and doing the required readings and quizzes.

I hope you enjoy this course,

Giovanni Forchini

Course Period: 2021/02/18 - 2021/03/23
Course Start: Thursday, Thu. Feb. 18 at 9am on Zoom

Schedule