Time Series Methods in Financial Econometrics, PEF 2009
Patrick Gagliardini, USI and SFI
The goal of this course is to introduce students with advanced econometric methods for time series data in financial applications. The course focuses on the Generalized Method of Moments (GMM) and nonparametric methods, and considers estimation and inference for asset pricing and derivative pricing models.
The material of this course is mostly based on lectures held by P. Gagliardini and F. Trojani at HSG in the period 2005-2008, with some additional material on the empirical analysis of asset pricing models
For GMM: Chapters 0,1,2,3,5 downloadable here
For Nonparametrics: Chapters NP1-NP5 downloadable here