INTRODUCTION A L'ECONOMETRIE FINANCIERE (Intitulé en Anglais en 2020-2021) FINANCIAL ECONOMETRICS

Ects : 3
Compétence à acquérir :
This second econometrics course should enable students to

know/understand the details of regression tools (simulation of the data generation process, choice of characteristics and laws of variables, choice of hypotheses, ...)
better understand the impact of each failure as well as their interactions,
use this knowledge to carry out any empirical analysis.

Description du contenu de l'enseignement :
This course of financial econometrics has three objectives: The first is to review theoretical aspects of the Ordinary Least Square (OLS) in order to better understand the implications of hypothesis departures and what needs to be done to correct the estimators and their precision. The second is to analyse, via simulation, the impact of hypotheses violation on estimators, on quality criteria and on regression tests. Finally, the third objective is to discuss the practice and practical implementation of these methods. The outline of the course is the following :

Introduction: "True" model - DGP;
Return on multiple regression Assumptions, statistical inference, quality criteria, dummy variables;
Return on the failure of OLS assumptions, tests and correction: Heteroskedasticity, Autocorrelation, Normality, Multicolinearity, Exogeneity, Specification error;
An alternative to the use of OLS: Generalized least squares, Double least squares, Maximum likelihood, Quantile regression (if time permits).