This page contains information about the module of Advanced Financial Econometrics Applied Financial Econometrics, taught at the two-year M.Sc. in Financial Markets (2023-24). Notes, dataset and do files used during the lectures can be downloaded from here. Additional information/material will be posted in this page. 

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Lectures

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Lecture 1 ​

Lecture 2 - Data and do file

Lecture 3 - Data and do file

Lecture 4 - Data and do file

Lecture 5 - Data and do file

Lecture 6 - Data and do file

Lecture 7 - Data and do file

Lecture 8 - Data and do file

Lecture 9 - Data and do file