Empirical Finance

Activity: Participating in or organising an event typesParticipation in workshop, seminar, course

Rasmus Søndergaard Pedersen - Participant

PhD Finance course. Lecturers: Dr Pasquale Della Corte and Dr Cesare Robotti Outline: The aim of this course is to introduce students to models and techniques required to undertake empirical research on the asset pricing side of nancial economics. This requires a combination of financial and econometric methods as well as working with the data. The course is intended for Ph.D. students with a prior knowledge of asset pricing theory, capital markets and econometrics. We will concentrate on discrete-time methods and use a use a variety of econometric techniques such as Maximum Likelihood (ML), Generalized Method of Moments (GMM), Bayesian methods and time-series models. We will cover these econometric tools in order to empirically address meaningful economic rather than being interested in econometric methodology per se. Topics covered: Predictability, Asset Pricing Tests, Factor Pricing Models, Misspecification, Bayesian methods, Stochastic Volatility, Volatility Derivatives, FX Options.
Jan 2014Mar 2014

Course

CourseEmpirical Finance
LocationImperial College Business School, Imperial College London
CountryUnited Kingdom
CityLondon
Period24/01/2014 → …

ID: 105459848