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Datascience for Finance

  • Enseignant(s):  
  • Titre en français: Datascience pour la finance
  • Cours donné en: anglais
  • Crédits ECTS:
  • Horaire: Semestre d'automne 2018-2019, 4.0h. de cours + 1.0h. d'exercices (moyenne hebdomadaire)
      WARNING :   this is an old version of the syllabus, old versions contain   OBSOLETE   data.
  •  séances
  • site web du cours site web du cours
  • Formations concernées:

 

Objectifs

The objective of the class is to provide students with:

  • a set of powerful modern econometric methods (tools)
  • a deep understanding and critical assessment of the presented methods
  • the ability to independently apply the presented methods to empirical problems
  • the foundations they need for other classes of the M.Sc. in Finance.

Contenus

1. Ordinary Least Squares (OLS)

  • The Algebra of Least Squares
  • Finite-sample properties of the OLS
  • Asymptotic theory
  • Hypothesis Testing
  • Fundamental Concepts of Time Series Analysis
  • Testing Conditional Homoskedasticity
  • Estimation with Parameterized Conditional Heteroskedasticity
  • Autocorrelation tests and AR models
  • Forecasting

2. Maximum Likelihood (ML)

  • Extremum Estimators
  • Consistency
  • Asymptotic Normality
  • Hypothesis Testing
  • Limited dependent variable models (Probit, Logit, Tobit)
  • ARMA models
  • Forecasting

Matlab programming: students learn to program in Matlab during the semester, and apply the presented methods to empirical problems.

Références

J. Hamilton (1994), “Time Series Analysis” (Princeton University Press).

F. Hayashi (2000), “Econometrics” (Princeton University Press).

W. Greene (2011), “Econometric Analysis” (7th edition, Prentice Hall).

Evaluation

1ère tentative

Examen:
Ecrit 3h00 heures
Documentation:
Non autorisée
Calculatrice:
Autorisée avec restrictions
Evaluation:

Grade will be determined based on

  • Final Exam (E)
  • Assignments (A)
  • Project (P)

according to the rule:

Final grade = 0.6*E + 0.2*A + 0.2*P.

Final exam (E) is a written closed book exam, non programmable calculator permitted.

Rattrapage

Examen:
Ecrit 3h00 heures
Documentation:
Non autorisée
Calculatrice:
Autorisée avec restrictions
Evaluation:

Retake exam grade (RE) is the Final grade (i.e. assignments and project no longer count).

Retake exam (RE) is a written closed book exam, non programmable calculator permitted.



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