Understand the foundations of econometric theory

• Describe key concepts in econometrics and their application to financial data.

Apply classical linear regression models to financial data

• Estimate and interpret ordinary least squares (OLS) models in a financial context.

Test hypotheses and diagnose econometric models

• Conduct hypothesis testing, check for multicollinearity, heteroskedasticity, autocorrelation, and model specification errors.

Model and forecast financial time series

• Use time series models such as ARIMA, GARCH, and VAR for modeling stock returns, volatility, and interest rates.

Analyze high-frequency and panel financial data

• Understand the econometric treatment of high-frequency and cross-sectional time series (panel) data.

Apply cointegration and error correction models

• Test for long-run relationships between financial variables using cointegration techniques.

Understand and apply volatility modeling

• Apply ARCH/GARCH models and their extensions for modeling time-varying volatility in financial markets.