Financial Econometrics

Teaches: Lukianenko Iryna

Course Schedule

Theme 1. Application of ARIMA-Models in Financial Research Activities.

Theme 2. Application of ARCH and GARCH Models in Financial Processes Modeling.

Theme 3. Application of VAR (Vector-Autoregression) Models in Empirical Researches.

Theme 4. Application of ECM (Error Correction Models) in Economical Dynamics Modeling.

Theme 5. Application of Cross-Section Panel Data Models in Economic Processes Modeling.

Literature

1. Charemza W. W. Deadman D. F. New Direction in Econometric Practice. Edward Eglar,1992.
2. Chernyak O.I., Stavytsky. A.V. Dynamic Econometrics. Kyiv: KVITS, 2000.
3. Frances, Philip Hans. 1999. Time Series Models for Business and Economic Forecasting. Cambridge University 280 p.
4. Fuller W.A.. Introduction to Statistical Time Series. -New York:Wiley,1976.
5. Gujarati, Damodar N. Basic Econometrics. - 3^rd edition - McGraw-Hill, 1995. -
6. Hamilton James Time Series Analysis.- Prinston University Press, Prinston, New Jersey, 1994.
7. Lukianenko G. Gorodnichenko Yu. O. Modern Econometric Methods in Finances. Kyiv: Litera, 2002.

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