Applications in Financial Econometrics Using OxMetrics

31January 2003

The Royal Statistical Society, 12 Errol Street, London EC1Y 8LX

Contents

Course Programme
Request an Enrolment Form Now
Terms and Conditions
About OxMetrics

Timberlake Consultants Ltd, the publisher and distributor of OxMetrics, invite you to attend a one-day course in Central London, covering the use of OxMetrics in financial applications.


The Course - Several major advances in time series, forecasting and software engineering have occurred in the past few years. These advances provide a major breakthrough in the modelling of time series using easy-to-use object-oriented Windows based software. The course aims to provide delegates with background on econometric modelling methods and demonstrate, using financial data, how to interpret and report the results.

Who should attend - The course, given in English, is aimed at forecasters and researchers in

  • Economic Research/ Model Building
  • Financial Modelling/ Arbitrage Trading
  • Quantitative Investment Management
  • Sales and Inventory Forecasting
  • Traffic Modellers
  • Energy Load Forecasting
  • and more

Advantages - The course will

  • Review all major econometric modelling methods
  • Provide a practical and systematic approach to the modelling of business and financial time series data
  • Provide hands-on experience in building econometric models - each delegate is provided with a computer throughout the course
  • Provide an opportunity for you to meet with a panel of experienced modellers to discuss industry-specific applications related to forecasting and time series analysis

The Principal Lecturers - The principal lecturers are:
Dr. Jurgen Doornik is Research Fellow at Nuffield College, Oxford. He is the originator of Ox package, and contributed to many Ox packages (including the Arfima package) and works with David Hendry on PcGive. He has published papers in the Econometrics Journal, Journal of Economic Surveys, and Scottish Journal of Political Economy. http://www.nuff.ox.ac.uk/users/doornik/
http://www.pcgive.com/

Prof. Siem Jan Koopman is a Professor in Econometrics at the Free University of Amsterdam. He gained his Ph.D. (from LSE) in 1992. He has published papers in Biometrika, JASA, J Business and Economics Statistics, and J Royal Statistical Society Serie B. He is a member of the editorial board of the J Applied Econometrics. He is main contributor to the STAMP module and developed the Ox package SsfPack.
http://www.econ.vu.nl/koopman/
http://stamp-software.com
http://www.ssfpack.com/

Cost - The cost of the course is:

Commercial delegate £395+VAT= £464.15
Academic delegate £195+VAT= £229.15

The cost includes course materials, course dinner, lunch, refreshments and the use of computers. The number of delegates is restricted. Please register early to guarantee your place. Further instructions will be sent with the joining instructions. If you need assistance in locating hotel accommodation in the area, request the help of our Training Department.

Agenda
(subject to minor changes)

9.00 Coffee and registration

9.15-Welcome

  • Introduction to OxMetrics -- Exploratory Data Analysis
    Data input, transformations, graphical analysis, correlations,
    time-series properties, regression modelling
  • GARCH models: overview and some recent developments
    Motivation and introduction to GARCH models
    Brief overview of econometric theory
    stimating GARCH models: several empirical examples
    GARCH variations and outlier detection

13.00-14.00 Lunch

  • Introduction to Stochastic Volatility models
    Basic model specification. Relation to GARCH model, motivation.
    Link with option price models.
    Overview of estimation methods.
    Some illustrations of estimating SV models.
  • Some advanced topics
    Using Ox for advanced modelling: overview and two illustrations.
    ARFIMA estimation of realized volatilies.
    Dynamic credit risk model and CAPM estimation using SsfPack.
  • Hands-on/Ox session for advanced applications

17.45 Close

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Terms and Conditions

Registration closes 5 calendar days prior to the start of the course.

Cancellations:

  • full fee returned for cancellations made over 28 calendar days prior to start of the course
  • half-fee returned for cancellations made 14 calendar days prior to he start of the course
  • no fee returned for cancellations made less than 14 calendar days prior to the start of the course.

    Payment of course fees required prior to the course start date

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