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Advanced Financial Econometrics using R

18 Dec 2017 - 21 Dec 2017
MDP Number : 40
Area : Finance
Venue : XLRI Jamshedpur
Programme Directors : H K Pradhan, Trilochan Tripathy

Introduction & Objectives :

The past twenty years have seen extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated techniques in portfolio management, proprietary trading and risk management. Good knowledge of finance coupled with training in financial models and econometrics is considered a definite bonus in the job market. This course is designed for senior and middle level working professionals in building robust financial econometric models in R.

Methodology :

XLRI is famous for adopting a learner centric pedagogy that helps the participants retain the most and hit the ground running when they return to their workplace. The programs offered by XLRI are highly participative and consists of faculty input, group discussion, case analysis, experimental analysis and real world situation application examples.

The primary focus in this program will be on building advanced financial econometric models with real world applications. The choice of programming language will be R. No prior knowledge of R is required.

Expected Participant :

This program is designed for Senior to Middle level managers in banking and financial institutions who require modeling as part of their job. It is also suitable for other investment professionals who use these tools, research scholars and academicians.

Programme Contents :

  • Primer to R and R Environment
  • Asset returns and efficient markets
  • Linear time series and dynamics of returns
  • Unit roots, cointegration and comovement in time series
  • Shock Persistence and Impulse response
  • Discrete time volatility models of returns
  • Multivariate time series and volatility
  • Efficient portolios and CAPM
  • Multifactor pricing models
  • Portfolio allocation and risk assessment
  • Comsumption-based CAPM
  • Present value models
  • Simulation methods for financial derivatives
  • Econometrics of continuous time finance
  • Financial Panel data models
  • Nonlinear Time series models
  • Regime switch Modeling
  • Nonlinear Granger Causality models
  • Non Linear ARDL Models
  • Forecast and management of market risks
  • Recent developments in financial econometrics

Programme Director :

Dr. Trilochan Tripathy &  Dr H K Pradhan

Duration :

December 18 - 21, 2017

Venue :

XLRI, Jamshedpur

Fee :

Residential (Twin Sharing)
Rs. 38,000/-
Luxury Tax (for Residential) and Service Tax extra, as applicable

Non Residential
Rs. 28,000/-
Service Tax extra, as applicable