Financial Econometrics II

TOPICS

Block One: Forecasting and simulating the economy with ARMA and VAR models

Introduction to R

ARMA models

VAR models

Forecast evaluation

Block Two: Forecasting the risk of a portfolio

GARCH models

MGARCH models

Copulas

Backtesting


MATERIALS AND DATASETS

All materials for the course can be found on the webpage of prof. Michał Rubaszek.


HOMEWORK ASSIGNMENTS

To be disseminated.


LITERATURE AND USEFUL LINKS

Obligatory literature can be found on the webpage of prof. Michał Rubaszek.

EVALUATION CRITERIA FOR FULL-TIME STUDENS

Points

Traditional exam: 10 points

Two presentations: 24 points

Active participation: 3 points

All students must earn at least 30% of points before taking the exam.

Grades

[0-15) - 2

[15 - 19) - 3

[19 -23 ) - 3+

[23 - 27) - 4

[27 - 31) - 4+

[31-37] - 5

EVALUATION CRITERIA FOR PART-TIME STUDENTS

Points

Traditional exam: 10 points

One presentation: 12 points

Active participation: 3 points

All students must earn at least 30% of points before taking the exam.

Grades

[0-11) - 2

[11- 14) - 3

[14 -27 ) - 3+

[17- 20) - 4

[20 - 23) - 4+

[23-25] - 5