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351-0568-00L 2 Credits DR , MSC D-USYS , D-BAUG , D-MAVT , D-INFK , D-MTEC , D-MATH , D-BIOL , D-ERDW , D-GESS , D-ITET , D-CHAB

Macro and Financial Econometrics

Lecturers & Examiners: Dr. Christian Conrad
VVZ CR n/a

Last Updated: 2026-02-05 15:29:51

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 the 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.

Resources

Literature

Brockwell, P. J., and R. A. Davis (2002). "Introduction to Time Series and Forecasting.'' Second edition, Springer-Verlag, New York. Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997). "The Econometrics of Financial Markets.'' Princeton University Press. Enders, W. (1995). "Applied Econometric Time Series.'' Wiley. Gourieroux, C., and J. Jasiak (2001). "Financial Econometrics.'' Princeton University Press. Hamilton, J. D. (1994). "Time Series Analysis.'' Princeton University Press. Taylor, S. J. (2005). "Asset Price Dynamics, Volatility, and Prediction.'' Princeton University Press. Tsay, S. T. (2005). "Analysis of Financial Time Series." Wiley.

General Information

Language
English
Levels
DR , MSC
Frequency
Yearly recurring

Examination

Type
session examination
Mode
written 90 minutes
Aids
None

Course Components

Type Title Time & Place Hours
seminar Macro and Financial Econometrics
Permission from lecturers required for all students.
  • Tue 10:15-12:00 (ML H 44)
  • 18.03 Date 10:15-12:00 (HG D 12)
  • 25.04 Date 13:15-15:00 (ML H 44)
  • 25.04 Date 15:15-17:00 (HG D 12)
  • 09.05 Date 10:15-12:00 (ML H 44)
  • 09.05 Date 13:15-15:00 (ML H 44)
  • 09.05 Date 15:15-17:00 (HG D 12)
2 h weekly

Offered In