Volatility Models, MIDAS Regressions and the Econometrics of Option
Pricing
Instructor: Eric Ghysels (UNC Chapel Hill)
This course will cover a selected list of current
empirical research topics in finance and related econometric methods, namely:
Univariate ARCH-type models
MIDAS regressions
Econometrics of Option Pricing
Lecture
1
Reading material:
Nelson (1991)
Lecture
2
Companion
notes Lecture 2
Lecture
3
Reading material:
Ghysels, Santa-Clara and Valkanov (various papers)
Lecture
4
The Econometrics
of Option Pricing
Empirical Pricing
Kernel
Lecture
5
Joint Estimation
of Risk Neutral and Objective Measures (Chernov/Ghysels)
Empirical Reverse
Engineering of Pricing Kernel (Chernov)
Jump-risk premia
and "IS"-GMM (Pan)