Financial Econometrics II (Ekonometria Finansowa II)

Script

Michał Rubaszek, 2021. Materials for the course Financial Econometrics II, Warsaw (DOWNLOAD)

Block 1. Forecasting and simulating the economy with ARMA and VAR models

Readings

Michal Rubaszek (2012). Modelowanie Polskiej Gospodarki z Pakietem R, Oficyna Wydawnicza SGH. Chapters 1-5 (link)
Appied Econometrics with R, Kleiber Ch. i Zeileis A. (link)
Tsay R. S. (2002). Analysis of Financial Time Series, Wiley.
Lütkepohl H., Krätzig M. (2004). Applied Time Series Econometrics, Cambridge University Press.
Nelson Ch.R, 1972. The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy, American Economic Review 62(5), 902-17 (link)
Nelson Ch.R., Plosser Ch., 1982. Trends and random walks in macroeconmic time series : Some evidence and implications, Journal of Monetary Economics 10(2), 139-162 (link)
Smets F., Peersman G., 2001. The monetary transmission mechanism in the Euro area: more evidence from VAR analysis, ECB Working Paper Series 091 (link)
Blanchard O., Quah D., 1989. The Dynamic Effects of Aggregate Demand and Supply Disturbances, American Economic Review 79(4): 655-673 (link lub link)

R codes

Topic 1. Introduction to R. (Block1T1.R)
Topic 2. ARMA models. (Block1T2.R)
Topic 3. VAR models. (Block1T3.R) and (Block1adds.R)
Topic 4. Forecast evaluation. (Block1T4.R)
Functions (Block1Functions.R)
Zipped codes (Block1codes.zip)

Data

GDPdata.csv; CPIdata.csv; comDdata.csv; EFII.Rdata; BQforUK.csv

Block 2. Forecasting the risk of a portfolio

Readings

Michal Rubaszek (2012). Modelowanie Polskiej Gospodarki z Pakietem R, Oficyna Wydawnicza SGH. Chapter 6 (link)
Tsay R. S. (2002). Analysis of Financial Time Series, Wiley.
Cont R., 2001. Empirical properties of asset returns: stylized facts and statistical issues, Quantitative Finance 1, 223-236 (link)
Bauwens L., Laurent S., Rombouts J., 2006. Multivariate GARCH models: a survey, Journal of Applied Econometrics 21, 79-109 (link)
Ghalanos A., 2018, Introduction to the rugarch package (link)
Nelsen R., 2006. An Introduction to Copulas, Springer (link)

R codes

Topic 5. GARCH models. (Block2T5.R) and additional material on natural gas (TTF.zip)
Topic 6. MGARCH models. (Block2T6.R)
Topic 7. Copulas. (Block2T7.R)
Topic 8. Backtesting. (Block2T8.R)
Functions (Block2Functions.R)
Downloading data for WIG20 stocks / PLN rates (Block2data.R)
Zipped codes (Block2codes.zip)

Data

wig20.csv; wig20.Rdata; PLN.csv; PLN.Rdata;

Evaluation / grades: 2023 Spring course

Points to be gathered:

1. Two presentations (max 24 pkt)
2. Active participation in classes (max 3 pkt)
3. Test (max 12 pkt)

Grade

00-14: 2 (ndst)
15-17: 3 (dst)
18-20: 3+ (dst+)
21-25: 4 (db)
25-30: 4+ (db+)
30-37: 5 (bdb)