Topics in Applied Financial Analysis

MScinFinance and Banking

AthensUniversityofEconomicsBusiness

Instructor: Prof. E. G. Tsionas

Aimsand objectives:

Theaimofthiscourseistointroducestudents to evaluation and quantitative techniques used in financial markets, such as volatility modeling, investments performance, market efficiency, trading strategies, evaluation of mutual funds, closed-end funds, and alternative investments and forecasting. Our applications of financial econometrics are in the areas of behavioral finance, capital markets, and themoderntoolsofinvestmentanalysis and portfolio management. It will also cover topics on cross-correlations, the analysis of herding behavior, portfolio management using active learning and the evaluation of portfolio decision making.

The course also includes a computational demonstration of most of the above tools and techniques with EViews, which is very popular in the finance industry.

Attheendofthecourse,thestudents will have a full understanding of concepts and tools of modern techniques in finance and testing (or evaluation procedures), as they are used by financial practitioners. They will acquire knowledge and skills on the econometric analysis of portfolio management and performance evaluation methods for different investments and investment decisions.

Course Outline and Reading List

  1. General introduction to financial econometrics, forecasting and financial markets empirical regularities. Properties of fundamental estimators in econometrics.
  2. Mutual funds, closed-end funds, and their evaluation techniques.
  3. GMM techniques for time-series and cross-sectional data.
  4. GMM techniques for dynamic panel data.
  5. The modeling of univariate and multivariate volatility.
  6. Cross-correlations, prediction, and asset pricing.
  7. Behavioral finance and related topics.
  8. Portfolio management and econometric evaluation techniques.
  9. Hedge funds and modeling / prediction of bankruptcy.
  10. Types of Alternative Investments and their Characteristics

Text Books:

Chris Brooks, 2007, Introductory econometrics for finance, Cambridge University Press.

Simon Benninga, 2013, Financial Modeling, MIT Press, 3rd edition.

William Greene, 2013, Econometric Analysis, 7th edition, Wiley.

Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić, Financial Econometrics: From basics to advanced modelling techniques, Wiley, 2007.

Ruey Tsay, 2010, Analysis of Financial Time Series, Wiley.

Yacine Ait-Sahalia and Lars P. Hansen, eds., 2010, Handbook of Financial Econometrics: Tools and techniques, North Holland.

Investments, Sharpe, W.F., Gordon, J.A and J.V. Bailey, Prentice Hall.

TsionasE.,LectureNotesinEconometrics, AUEB, 2013.

Text Books for the Computational Part of the course:

Chris Brooks, 2007, Introductory econometrics for finance, Cambridge University Press.

TsionasE.,LectureNotesinEconometrics, AUEB, 2013.