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Financial Econometrics - Кафедра фінансів НаУКМА
Україна, 04655, м. Київ, вул. Г. Сковороди, 2 корпус 6, кім. 410, тел.(044)425-60-42, 425-77-37 (факс)

Invest in your future with the Master Program of Finance of Kyiv Mohyla Academy!

Master’s Program in Finance is a unique combination of thorough academic education and relevant experience of Ukrainian and European experts. No matter how you see your future: in the scientific field, or in the leading global or local companies, our master's program will give you the self-confidence and your managers or employers will be pleasantly surprised by the level of your preparation and competence.

We do not give all the ready answers, but we give you the opportunity to make your discoveries in a friendly atmosphere and improve your leadership skills. We do not teach you how to think, but we will show you how to transform knowledge and experience to success.

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.


  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. - 3rd 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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