AcF851 – Advanced Quantitative Methods 2021

Course Outline & Detailed Time Schedule (pdf)
Outline & Lecture Slides
zip Readings/Data
Session 1 Fri, 05/11/2021 Review – Basics Readings
Session 2 Fri, 05/11/2021  

Introduction Software and Data

Session 3 Fri, 12/11/2021
Session 4 Fri, 12/11/2021  

Asymptotic Theory

 

Readings

Session 5 Fri, 19/11/2021
Session 6 Fri, 19/11/2021 GMM Readings
Session 7 Fri, 26/11/2021 Monte Carlo Study, Times Series Modelling, Maximum Likelihood

Volatility Modelling

Session 8 Fri, 03/12/2021 High Frequency Econometrics I Readings
Session 9 Fri, 10/12/2021 High Frequency Econometrics II

Realized Volatility

Session 10 Fri, 17/12/2021 ASSESSMENT

Additional Course Material will be made available soon!