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Jamel JOUINI

Professor

Economics

كلية إدارة الأعمال
Building No 67, Second Floor, Office No 157
مادة دراسية

Financial Econometrics

The objective of the course is to allow students to be familiar with methods of conventional econometric modeling in the context of financial market data and diagnostic testing procedures. By the end of the course students will be able to i) formulate econometric models suitable for financial analysis, select appropriate methods of estimation and interpret the obtained results; ii) understand the principles of time series ARIMA modeling and evaluate their ability to forecast financial variables, iii) understand the family of ARCH-GARCH models and be able to display volatility by applying them to financial data; iv) implement the Vector Autoregressive (VAR) models and the cointegration relationships in finance, and v) deal with panel data regression models.

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