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Financial Econometrics (SIDS31267)

The course website is at https://sites.google.com/a/essec.edu/financial-econometrics/

Credit hours: 1.00

Course attribute: Management course
Contact hours: 30.00
Course Coordinator: G. CHEVILLON.


This course is taught in English in the Third Term of the academic year.


This course is aimed at students interested in dynamic modeling in finance (esp. market finance), insurance, actuary and macroeconomics. It is also profitable to those interested in quantitative analyses in marketing.


This course allows students to understand and use the econometric models developed over the last two decades (in particular by the 2003 Nobel Prize recipients in Economics) to analyze dynamic phenomena. Case studies on exchange rate determination, portfolio allocation (CAPM), Arbitrage Pricing Theory (APT), Volatility measurements, Value at Risk (VaR), etc, illustrate the concepts and tools.
The aim of econometrics is to provide theoretical models with a link to actual data. Hence, empirical implementation is a necessity in such a course. We mainly use E-Views and R, but alternative econometric software packages are also presented (OxMetrics and Matlab).
This course enables students to directly develop an operational modeling ability in market finance, insurance and actuary. It is advisable, yet not required, that students previously attend the SIDS31160 course ‘Introduction à l’économétrie’.

Topics covered:
1. Dynamic linear models: ARMA, VAR and cointegration (Equilibrium Correction Models). Applications to forecasting.
2. Conditional volatility models: ARCH, GARCH, EGARCH…
3. Ongoing developments in long memory, fractional integration, market microstructure and stochastic volatility models

This course is a compulsory requirement for students in the Actuary-Insurance track who aim for the diploma from the Institut des Actuaires Français (IAP, as part of the ESSEC-ISUP convention). This course is also accepted as an ‘equivalent course’ for the joint ESSEC–Universités de Cergy-Pontoise et de Paris-X-Nanterre–CNAM Master ‘Assurance-Finance’ and the CNAM-ESSEC convention. It is also advised for students wishing to complete the Finance track (market finance option) to attend this course.

Brooks, C (2002). Introductory econometrics for finance. Cambridge University Press.
Campbell, J. Y., Lo, A. W. & A. C. MacKinlay (1997). The Econometrics of Financial Markets. Princeton University Press.
Gourieroux, C & J. Jasiak (2001). Financial Econometrics: problems, models and methods. Princeton University Press.
Tsay, R. S. (2005). Analysis of Financial Time Series. Wiley, second edition.