Teaching
ECON308 Quantitative Financial Economics
The aim of this module is to provide a through overview of main topics in modern financial economics. These include decision-making under uncertainty, portfolio selection, pricing financial assets and state contingent claims, as well as forecasting asset return and volatility from historical data.
ECON311 Time Series Econometrics
The aim of this module is to give students an understanding of econometric time series methodology. The module will build upon the materials of ECON212 Basic Econometrics. Important extensions include volatility models of financial time series and multivariate (multiple equations) models such as vector error correction and related cointegrating error correction models.
ECON920 Applied Macroeconometrics
Modules for 2024-25
METHODS OF ECONOMIC INVESTIGATION 1: TIME SERIES ECONOMETRICS
Module code: ECON311
Role: Module Co-ordinator
QUANTITATIVE FINANCIAL ECONOMICS
Module code: ECON308
Role: Module Co-ordinator
Supervised Theses
- An Econometric Analysis of Regression Models with Sorted Variables
- Multifactor Transformed Diffusion Models with Applications to VIX and VIX Futures