Advanced Topics in Empirical Finance

Instructor: Eric Ghysels

This course will cover a selected list of current empirical research topics in finance and related econometric methods. The topics that I plan to cover include:
 
  • MIDAS regressions
  • The estimation of diffusions
  • The econometrics of option pricing
    • Background material on ARCH models to be read prior to lectures
     

    Notes on ARCH models 1

    Reading material: Nelson (1991)

    Notes on ARCH models 2

    Notes on ARCH models 3

    Notes on ARCH models 4

    Reading material: Braun et al., Engle and Sentana

    Some useful books on Continuous Time Processes

    Lecture Material

    Reading  Material Lecture 1

    Delayed Feedback and the Risk-Return Tradeoff

    The Econometrics of Option Pricing

    Empirical Pricing Kernel

    Slides Lecture 1 Part 1

    Slides Lecture 1 Part 2

    Reading  Material Lecture 2
     

    MLE of Generalized Ito Processes (Lo)

    Density Approximations (Ait-Sahalia)

    Joint Estimation of Risk Neutral and Objective Measures (Chernov/Ghysels)

    Empirical Reverse Engineering of Pricing Kernel (Chernov)

    Jump-risk premia and "IS"-GMM (Pan)

    Slides Lecture 1 Part 1
     

    Reading  Material Lecture 3

    Term Premia and Interest Rate Forecasts in Affine Models (Duffee)

    Specification Analysis of Affine Term Structure Models (Dai/Singleton)

    Reading  Material Lecture 4

    Alternative Models of Stock Price Dynamics (Chernov/Gallant/Ghysels/Tauchen)

    Transform Analysis and Asset Pricing for Affine Jump-Diffusions (Duffie/Pan/Singleton)

    Estimation of jump-diffusions with a continuum of moment conditions (Carrasco/Chernov/Ghysels/Florens)