FINANCIAL ECONOMETRICS
Κωδικός Μαθήματος:
I-7
Τύπος Μαθήματος:
Υποχρεωτικό Μάθημα Κατεύθυνσης
Έτος Σπουδών:
Α'
Εξάμηνο Σπουδών:
Εαρινό
Αριθμός Πιστωτικών Μονάδων (ECTS):
8
Γλώσσα Διδασκαλίας:
Greek
Περιεχόμενο του μαθήματος (Syllabus):
- Simple and multiple linear regression: the Gauss – Markov model, OLS estimation and statistical hypothesis testing, simple and adjusted coefficient of determination, deviations from the Gauss- Markov framework (autocorrelation, heteroskedasticity, multicollinearity) and diagnostic testing, practical application: estimating a capital asset pricing model (CAPM).
- Time-series analysis models: the concept of a time series, properties of time series (mean reversion, memory, deterministic/stochastic trend, seasonality), autocorrelation and partial autocorrelation function, autoregressive (AR) υand moving average (MA) models, ARMA model identification and the Box-Jenkins methodology, non-stationary processes, unit root tests, ARIMA models, practical applications: forecasting financial prices, testing the market efficiency hypothesis.
- Risk analysis models: types of financial risks, patterns of market price uncertainty, autoregressive conditional heteroskedasticity (ARCH), volatility models ARCH-GARCH, models for asymmetric volatility (GJR-GARCH, EGARCH), practical application: analyzing the market risk of financial securities.
- Multivariate risk models: the correlation structure of financial returns, multivariate ARCH models, models for the correlation structure (CCC, DCC και ΑDCC), practical application: analyzing the risk exposure of a portfolio of securities.
- Special topics in financial econometrics: nonlinear models for time series analysis (smooth transition), computational methods for data analysis (neural networks and machine learning algorithms), market risk analysis and factor models, algorithmic trading systems.
Συνιστώμενη Βιβλιογραφία προς μελέτη:
- Suggested bibliography:
Christou G. (2011) «Introduction to econometrics», Gutenberg (in Greek)
Brooks, Ch (2022) «Introduction to Financial Econometrics». Gutenberg (Greek Translation)
- Related academic journals:
Journal of Time Series Analysis
Διδακτικές και Μαθησιακές Μέθοδοι:
Distance learning
- Use of ICT in teaching and communication with students
- Use of ICT in laboratory education
Μέθοδοι αξιολόγησης / βαθμολόγησης:
- Final exam with Multiple Choice Questions and Problem Solving (Conclusive)
- Laboratory Work (Conclusive)
Αντικειμενικοί Στόχοι μαθήματος (επιδιωκόμενα μαθησιακά αποτελέσματα):
- Analyzing the statistical properties and detecting repeated patterns in financial time series
- Familiarizing themselves with commercial statistical/econometric software
- Performing risk analysis of financial investments
Περίγραμμα του Μαθήματος:
