The goal of this course is to present the main econometric model and the associated statistical methods used to study the behavior of stock market prices.
All finance and applied mathematics courses of 2nd year.
Practical project (100%)
C. Gourieroux : Modèles ARCH et applications financières. Economica
C. Gourieroux, O. Scaillet, A. Safarz : Econométrie de la Finance, Economica.
N. Shephard : Stochastic volatility. Advanced texts in Econometrics.