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.
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
Introduction to financial data
Historical means, Efficient market hypothesis, Stylized facts & Factor Models
Standard deviations & Stylized facts
Volatility modelling: GARCH models
Event studies
Modelling long-run relationship in Finance
Behavioral finance and introduction to Agent-Based modelling in Finance
Reading and conducting empirical research in Finance
Lectures (PowerPoint slides) and exercices on R presented during the course.
The course is primarily focused on advanced methods in (financial) econometrics. Therefore, prior knowledge of the ordinary least squares model (OLS) is essential (a basic econometrics course, in other words), as this model will be considered as known. Knowledge of time series models (ARMA) is recommended, though a review of this material will be provided during the course.
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.
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