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IB9KC Financial Econometrics



  • Lectures: 20 hours.
  • Laboratory sessions: 6 hours.
  • Seminars: 9 hours.


Part 1: GMM for Financial Time Series

  • Conditional Moment Restrictions and Optimal Instruments
  • Application to GARCH-type Models
  • Application to Stochastic Discount Factor Models
  • Inference in Misspecified Models

Part 2: Non-Linear State Space Models

  • Stochastic Volatility
  • Filtering
  • Indirect Inference

Part 3: Continuous Time Models

  • High-Frequency Asymptotics
  • Maximum Likelihooh
  • Option Price Data


  • Examination (60%)
  • Class test (20%)
  • Group project (20%)

Illustrative Bibliography:

John Y. Campbell: Financial Decisions and Markets, Princeton University Press.

John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay: The Econometrics of Financial Markets, Princeton University Press. - John H. Cochrane: Asset Pricing, Princeton University Press.

Christian Gourieroux and Joann Jasiak: Financial Econometrics, Princeton University Press.

James D. Hamilton: Time Series Analysis, Princeton University Press.

Alexander J. McNeil, Rudiger Frey and Paul Embrechts: Quantitative Risk Management, Princeton University Press.

Stephen J. Taylor: Asset Price Dynamics, Volatility and Prediction, Princeton University Press.

Examination Period: April