Training Calendar

Online Course: Financial Econometrics Using Stata

Online Course: Financial Econometrics Using Stata

Course Overview

This is a web based training course, which is delivered and offers the same content as our public attendance classroom courses, with more convenience and without the travelling costs. Our web based courses are interactive but you attend at from a location of your choice, whether it is your home, office or remote location.

Our web based training course FAQ's can be viewed here.

Financial econometrics applies mathematical and statistical tools to financial economics. In recent years, the growing complexity of the financial markets has led to the formulation of several econometric techniques, which could help practitioners to model and forecast the behaviour of market fundamentals.

This course provides a review of and a practical guide to several major econometric methodologies frequently used to model the stylised facts of the financial time series via ARMA models, univariate and multivariate GARCH models, risk management analysis and contagion.

Hands-on demonstrations of the alternative techniques will be illustrated Stata. Practical sessions involve interest rate data, asset prices and forex time series. using interest rate, asset prices and forex time series

The course is based on the new publication:

Boffelli, S and Urga, G (2015). Financial Econometrics Using Stata. Stata Press: TX.

Course Agenda

Day 1: Modelling and Forecasting Conditional Mean of Financial Time Series

Sessions 1 & 2:

  • Introduction to financial time series: normality, stationarity, autocorrelation, heteroscedasticity and model selection
  • Empirical application 1: analysis of the features of financial time series

Sessions 3 & 4:

  • AR, MA and ARMA models
  • Empirical application 2: model selection and estimation in practice

Day 2: Modelling and Forecasting Conditional Volatility of Financial Time Series

Sessions 1 & 2:

  • Univariate ARCH and GARCH models: ARCH, GARCH, GARCH-in-mean, asymmetric GARCH models, news impact curve, alternative GARCH specifications
  • Empirical Application 3: fitting ARCH and GARCH models

Sessions 3 & 4:

  • Multivariate GARCH models: Vech, DVech, BEKK, CCC, DCCE and DCCT models
  • Empirical Application 4: modelling cross-markets correlations and testing for volatility spillovers

Principal texts for pre-course reading

  • C.Brooks, (2014). Introductory Econometrics for Finance, 3rd Edition. Cambridge University Press
  • T.C. Mills and R.N. Markellos (2008). The Econometric Modelling of Financial Time Series. Cambridge University Press.

Principal texts for post-course reading

The course is based on the new Stata Press publication by S. Boffelli and G. Urga (2015), Financial Econometrics Using Stata.


Basic knowledge of statistics and econometrics and Stata is required. A working interest in financial econometrics is assumed.

  • Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrolment).
  • Additional discounts are available for multiple registrations.
  • Delegates are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course.
  • Payment of course fees required prior to the course start date.
  • Registration closes 1-calendar days prior to the start of the course.
    • 100% fee returned for cancellations made over 28-calendar days prior to start of the course.
    • 50% fee returned for cancellations made 14-calendar days prior to the start of the course.
    • No fee returned for cancellations made less than 14-calendar days prior to the start of the course.
  •  CommercialAcademicStudent
    Regular pass (30/01/2017 - 31/01/2017)

All prices exclude VAT or local taxes where applicable.

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