Certificate of attendance
Cass Business School, Bunhill Row, London, EC1Y 8TZ
Continuing on from Time Series Econometrics using Stata Part 1, this 2-day course delves deeper into the econometric methodologies frequently used to model the stylised facts of time series via ARMA models, univariate and multivariate GARCH models, risk management analysis and contagion.
Day 1 - Multivariate time series analysis for financial data
- Financial time series and their features: distributions of asset returns, stationarity, autocorrelation, heteroscedasticity
- Vector Autoregressive (VAR) models. Analysis of the properties and practical applications of identification and diagnostic checking of VAR models.
- Multivariate GARCH models: Diagonal VECH, Constant Conditional Correlation, Dynamic Conditional Correlation models. Analysis of the properties and practical applications of identification and diagnostic checking of MGARCH models.
- Forecasting with MGARCH models.
Day 2 - Risk management and contagion analysis
- Value-at-Risk (VaR) to measure market risk of financial markets. Parametric model, historical simulation, Monte Carlo simulation. Practical applications of VaR estimation.
- Backtesting procedures: unilevel VaR tests. Practical applications of backtesting procedures
- Contagion in financial markets
- Contagion measurements: cross-market correlation coefficients, ARCH and GARCH models, Markov switching regressions, higher moments contagion