Financial Econometrics at BSE
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1 Introduction to time series
2 Forecasting with time-series regression
- 2.1 Oracle inequality
- 2.2 Application: forecasting unemployment
3 Large-dimensional methods for forecasting
4 ARMA(1,1) model
- 4.1 MLE for the ARMA(1,1)
- 4.2 Exercises
5 ARMA models in practice
- 5.1 Forecasting the U.S. GDP growth
- 5.2 Exercises
6 Volatility modeling
- 6.1 GARCH(1,1) estimation
- 6.2 Exercises
7 Volatility modeling in practice
8 Value-at-Risk and correlation modelling
- 8.1 Exercises
9 Additional exercises
- 9.1 Exercises
Alessandro Ciancetta

Financial Econometrics - Tutorials

Financial Econometrics - Tutorials

Alessandro Ciancetta

Last update: March 11, 2025

About

TA materials for the Financial Econometrics course held by Prof. Christian Brownlees at the Barcelona School of Economics.