PH.D. CLASSES

INTRODUCTION TO EMPIRICAL FINANCE

Classroom details appear on CANVAS

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.

Focus

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.

Reading Material

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

The Econometrics of Financial Markets

Princeton University Press, 1997

John Y. Campbell, Andrew W. Lo and
A. Craig MacKinlay

Asset Pricing
Princeton University Press, 2001
John Cochrane

Generalized Method of Moments
Oxford University Press, 2005
Alastair Hall

Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment Princeton University Press, 2006

Kenneth J. Singleton,

Bayesian Computation: Markov Chain Monte
Carlo and Particle Filtering

Unpublished Manuscript, 2010

Michael Johannes and Nicholas Polson

The elements of statistical learning.
Springer series in statistics, 2001.
Friedman, Jerome, Trevor Hastie, and Robert Tibshirani

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

MBA CLASSES

FORECASTING TECHNIQUES ITH BUSINESS APPLICATIONS

The course introduces basic time series regression techniques for the purpose of forecasting. The material will focus on macro economic and business applications. Students will learn the nuts and bolts of forecasting techniques through practical applications.

• Currently not offered

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CURRENT TOPICS IN FINANCE: FINTECH

Recent developments in block chain technology and cryptocurrencies are covered. 

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CURRENT TOPICS IN FINANCE: FINANCIAL INNOVATION AND THE CRISIS

The course covers advanced techniques in fixed income pricing combined with discussions regarding the recent financial crisis.

• Currently not offered

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