COURSE OVERVIEW

The growth in financial instruments during the last decade has resulted in a significant development of econometric methods (financial econometrics) applied to financial data. The objective of our Modelling Volatility and Contagion in Finance course is to provide participants with a comprehensive overview of the principal methodologies, both theoretical and applied, adopted for the analysis of risk in financial markets. To this end, the course focuses on the modelling and forecasting of financial time series of asset returns; the modelling of cross market correlations, volatility spillovers and contagion in financial asset markets. During the course, a number of alternative GARCH models and models of conditional correlations will be reviewed.

TARGET AUDIENCE

The course is of particular interest to: i) Master and Ph.D. Students and Researchers in public and private research centres, and ii) professionals employed in risk management in the following sectors: asset management, exchange rate and market risk analysis, front office and research in investment banking and insurance, needing to acquire the necessary econometric/statistical toolset to independently conduct an empirical analysis of financial risk.

COURSE REQUISITES

Participants should have a knowledge of the inferential statistics and introductory econometric methods illustrated in Brooks (2019).