Learning outcomes

With this course, students will have a thorough knowledge of the charactericts of financial markets. At the same time, they'll obtain the tools to understand and perform empirical reasearch in Finance.

This course provides students with a deep understanding of the mechanisms and characteristics inherent to financial markets. By the end of the course, they will have the advanced econometric tools necessary to understand and conduct empirical studies on financial issues.

 

Goals

Main objectives of the course:

  • Understand the process of price formation in financial markets

  • Empirical modelling of financial data

  • Financial econometrics

  • Applying methods of asset management

 

Content

  1. Introduction to financial data

  2. Historical means, Efficient market hypothesis, Stylized facts & Factor Models

  3. Standard deviations & Stylized facts

  4. Volatility modelling: GARCH models

  5. Event studies

  6. Modelling long-run relationship in Finance

  7. Behavioral finance and introduction to Agent-Based modelling in Finance

  8. Reading and conducting empirical research in Finance 

 

Assessment method

  • Written exam (60 %)

    • Closed-book, 2 hours

    • Theoretical concepts + interpretation of real life data/problems

  • Group assignment (40 %)

    • Case study on empirical aspects presented in the course

    • Performing empirical analyses on R

    • Critically analyse results

      • Written report

  • The use of artificial intelligence during assessments for this course is regulated by UNamur's guidelines and must therefore be mentioned in any submitted evaluative work. Students are advised to be mindful of the general nature of AI-generated responses, which often do not fully address the questions asked and may not be aligned with the course framework.

     

Sources, references and any support material

Brooks, C. (2019). Introductory Econometrics for Finance. Fourth Edition. Cambridge University Press

Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997). The Econometrics of Financial markets. Princeton University Press.

Mishkin, F. S. & Serletis, A. (2011). The Economics of Money, Banking, and Financial Markets. Fourth Canadian Edition. Pearson Canada Education.

Taylor, S. (2005). Asset Price dynamics, Volatility and Prediction. Princeton: Princeton University Press

 

Language of instruction

Français