Master 2025/2026

Financial Econometrics

Type: Compulsory course (Financial Economics)

Delivered by: International College of Economics and Finance

When: 2 year, 1, 2 module

Open to: students of one campus

Instructors: Sofya Budanova

Language: English

Course Syllabus

Abstract

Financial Econometrics is a one-semester course taught to the second year students of the ICEF Master program in Financial Economics. It is designed to cover essential tools for working with financial data, including return forecasting, volatility and econometrics of asset pricing, such as testing the market models. We focus on the empirical techniques that are mostly used in the analysis of financial markets and on how they are applied to actual data. The course starts with an overview of the financial data. Then it covers the event-study methodology and continues with analyzing return predictability and the volatility effects of the market data (asymmetric GARCH). We then proceed to testing market models (Fama-McBeth regressions, etc.) and stochastic discount factor models. Other important topics can be covered subject to time availability. All the models are accompanied with real-data examples in standard computer packages. Course Pre-requisites: Mathematics for Economics and Finance, Financial Economics I (Asset pricing), Econometrics I-II.