Professor Stan Hurn from the School of Economics and Finance, QUT, will be giving two courses in Financial Econometrics at the University of Stellenbosch.
Introductory Financial Econometrics will be held on 20, 21 and 22 January 2009.
Likelihood Methods in Finance will be held on 7, 8 and 9 April 2009.
Introduction to EViews
The Introductory Financial Econometrics course will use EViews 6. For those unfamiliar with EViews the following document provides a brief introduction to EViews.
- Introduction to EViews (pdf, 1.68mb)
- Data sets (zip, 50kb) to accompany Introduction to EViews
Course Schedules and Materials
Introductory Financial Econometrics
| Day 1 - 20 January 2009 | |
|---|---|
| 09:00 am - 10:30 pm | Understanding Financial Data (pdf, 315kb) |
| 11:00 pm - 12:30 pm | Understanding Financial Data |
| 1:30 pm - 3:00 pm | Computer Class 1 |
| Day 2 - 21 January 2009 | |
| 09:00 am - 10:30 pm | Generalized Method of Moments (pdf, 263kb) |
| 11:00 pm - 12:30 pm | Generalized Method of Moments |
| 1:30 pm - 3:00 pm | Computer Class 2 |
| Day 3 - 22 January 2009 | |
| 09:00 am - 10:30 pm | Modelling Volatility (pdf, 269kb) |
| 11:00 pm - 12:30 pm | Modelling Volatility |
| 1:30 pm - 3:00 pm | Computer Class 3 |
Likelihood Methods in Finance
| Day 1 - 7 April 2009 | |
|---|---|
| 09:00 am - 10:30 pm | Introduction to Maximum Likelihood |
| 11:00 pm - 12:30 pm | Introduction to Maximum Likelihood |
| 1:30 pm - 3:00 pm | Computer Class 1 |
| Day 2 - 8 April 2009 | |
| 09:00 am - 10:30 pm | Estimating Nonlinear Models by Maximum Likelihood |
| 11:00 pm - 12:30 pm | Estimating Nonlinear Models by Maximum Likelihood |
| 1:30 pm - 3:00 pm | Computer Class 2 |
| Day 3 - 9 April 2009 | |
| 09:00 am - 10:30 pm | Quasi Maximum LIkelihood Estimation |
| 11:00 pm - 12:30 pm | Quasi Maximum LIkelihood Estimation |
| 1:30 pm - 3:00 pm | Computer Class 3 |
Enquiries and Registration
ERSA will provide financial support to cover travel and accommodation expenses of participants. However, places are limited and access to the course is at the discretion of the course organizers.
Please email Tania Jacobs for more information.