Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation application software in exercises to estimate volatility, correlations, stability, regressions, and statistical inference using financial time series. Topic 1: Time series properties of stock market returns and prices  Class intro: Forecasting and Finance  The random walk hypothesis  Stationarity  Time-varying volatility and General Least Squares  Robust standard errors and OLS Topic 2: Time-dependence and predictability  ARMA models  The likelihood function, exact and conditional likelihood estimation  Predictive regressions, autocorrelation robust standard errors  The Campbell-Shiller decomposition  Present value restrictions  Multivariate analysis: Vector Autoregression (VAR) models, the Kalman Filter Topic 3: Heteroscedasticity  Time-varying volatility in the data  Realized Variance  ARCH and GARCH models, application to Value-at-Risk Topic 4: Time series properties of the cross-section of stock returns  Single- and multifactor models  Economic factors: Models and data exploration  Statistical factors: Principal Components Analysis  Fama-MacBeth regressions and characteristics-based factors

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Empirical Methods in Finance

Project #2: Cointegration and Pair Trading - HEC Lausanne

Assignments for the Empirical Methods in Finance class of Spring 2021 with Professor Florian at HEC Lausanne Ielpo

Empirical Methods in Finance @HKUST

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Master project in the class Empirical Methods in Finance

Empirical Methods for Finance Projects - Master's in Finance - Nova School of Business and Economics - 2021

Empirical Methods in Finance

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This repo contains the econometric methods approached in the Empirical Methods in International Public Finance course, taught at LMU Munich during my exchange semester of the Master's in Economics. All econometric methods were done in R.

Includes a compendium for the subject at NTNU

Empirical Methods in Finance @EDHEC 2020

Empirical project in TIØ4317 - Empirical and Quantitative Methods in Finance

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Empirical Methods in Finance (Time Series) (R)-Completed

Code for "Empirical methods in finance" course project

Collection of codes for testing empirical methods in Finance.

Group project in course TIØ4317 - Empirical and quantitative methods in finance

Group project in the empirical methods in finance class. Includes volatility estimation and different VaR measures computation