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PhD-Course Macro and Financial Econometrics
Doktorandenseminar "Macro and Financial Econometrics"
Last Updated: 2026-02-05 15:19:31
Abstract
The course covers recent developments in time series econometrics. Applications in macroeconomics and finance illustrate how these methods can be used in empirical research.
Objective
The aim of this module is to provide the student with the theoretical and practical skills necessary to construct state of the art econometric models used in the analysis of macro and financial time series.
Content
The lecture provides an introduction to modern econometric techniques used in the analysis of macro and financial time series. In the first part of the lecture we will study methods to model the mean of a time series. We will discuss topics such as stochastic processes, stationarity, ARMA models, unit roots, spurious regression and cointegration. The second part focuses on the modelling of volatility. We will investigate the properties of ARCH and GARCH models and their extensions, including estimation, testing and forecasting. Various empirical applications will be incorporated into the lecture, e.g. predictability of asset returns and market efficiency, variance ratio tests, relationships between the levels and the uncertainties of macroeconomic variables, Value-at-Risk, realized volatility and intraday seasonality.
General Information
- Language
- English
- Levels
- DR
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- written 90 minutes
- Aids
- None
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| seminar |
Doktorandenvorlesung "Macro and Financial Econometrics"
Permission from lecturers required for all students.
|
|
2 h weekly |