Introduction to Financial Econometrics

Week 1: Introduction to Financial Econometrics

Week 2: Statistical Foundations

Week 3: Time Series Analysis

Week 4: Modelling Volatility

Week 5: Multivariate Models

Week 6: Advanced Topics in Financial Econometrics

Week 7: Applications in Financial Markets

• Tsay, R. S. (2005). Analysis of financial time series (2nd ed.). Wiley Series in Probability and Statistics.
• Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997). The econometrics of financial markets. Princeton University Press.
• Mills, T. C., & Markellos, R. N. (2008). The econometric modelling of financial time series (3rd ed.). Cambridge University Press. (Note: An earlier edition by Terrance Mills can also be used.)
• Hamilton, J. D. (1994). Time series analysis. Princeton University Press.
• Brooks, C. (2002). Introductory econometrics for finance. Cambridge University Press.
• Gourieroux, C., & Jasiak, J. (2001). Financial econometrics: Problems, models, and methods. Princeton University Press.
• Wang, P. (2008). Financial econometrics. Taylor & Francis.
• Enders, W. (2004). Applied econometric time series. John Wiley & Sons.

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