PhD classes

ECON 871 - TIME SERIES ANALYSIS

Momentum Trading, Return Chasing and Predictable Crashes, (with Ben Chabot and Ravi Jagannathan)  

INTRODUCTION TO EMPIRICAL FINANCE

Instructor: Eric Ghysels

Meets Mondays 6:00pm-9:00pm, from January 12 until March 16 in McColl Classroom 2650 and the remainder of the semester in Classroom 2600

Course Description

This course is intended for PhD students in finance and related fields. It is designed to teach students how to conduct empirical research in asset pricing. The goal is that students become familiar with the issues at stake in empirical asset pricing, the methodologies used, the classic papers as well as the recent contributions, and be able to analyze and evaluate new research effectively. Finally, students are expected to acquire the skills to conduct and present original empirical research in finance.

Material from the following books will be used throughout the course:

John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay, The Econometrics of Financial Markets, Princeton University Press, 1997.

John Cochrane, Asset Pricing, Princeton University Press, 2001.

Alastair Hall, Generalized Method of Moments, Oxford University Press, 2005.

Kenneth J. Singleton, Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment, Princeton University Press, 2006.

Michael Johannes and Nicholas Polson, Bayesian Computation: Markov Chain Monte Carlo and Particle Filtering, Unpublished Manuscript, 2010.


In addition to the books we will also assign journal articles (most downloadable from JSTOR and/or UNC e-journal links).


This year the course will focus on four broad topics that will be covered in detail. They are (1) GMM estimation and applications to asset pricing, (2) models of asset price volatility - discrete and continuous time, (3) affine term structure models, and (4) Bayesian MCMC methods applied to empirical asset pricing.

Prerequisites

Prerequisites are: Econ 770, 771 and Busi 880. This means students must have basic knowledge of financial economics and econometrics at the level of first year PhD courses. Knowledge of the material in Econ 871 (Time Series) is beneficial.