Financial Modelling and Forecasting Using EViews and PcGets

24 - 28 March 2003
Fondazione Eni Enrico Mattei, Corso Magenta 63, 20123 Milano

Contents

Course Description
Course Programme
Request an Enrolment Form Now
Terms and Conditions
About EViews
About PcGets

CreActive Snc., our Italian agent, invite you to attend a 5-day course in the center of Milan, covering the use of Financial Modelling and Forecasting with EViews, the well known econometrics software package developed by Quantitative Micro Software (USA), and PcGets, an automated and powerful software system for econometric modelling develloped by Prof. David F.Hendry (http://www.nuff.ox.ac.uk/economics/people/hendry.htm) and Dr. Hanz-Martin Krolzig
(http://www.economics.ox.ac.uk/People/Members/KrolzigHM.htm)

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 quantitative modelling methods and demonstrate, using financial data, how to interpret and report the results.

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

  • Economic Research/ Model Building
  • Financial Modelling/ Arbitrage Trading
  • Quantitative Investment Management
  • University Instruction
  • and more

Advantages - The course will

  • Review all major quantitative modelling methods
  • Provide a practical and systematic approach to the modelling of 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 Lecturer - The principal lecturers is:

Dr Giovanni Urga, Professor of Finance and Econometrics and Director of the PhD Programme at City University Business School, UK

Giovanni Urga joined City University Business School in July 1999 as Senior Lecturer in Financial Econometrics. He was promoted to Reader in May 2001 and to Full Professor in May 2002.

His teaching includes Advanced Financial Econometrics, Advanced Financial Modelling and Forecasting, Econometric Methods, and Stationary and non-Stationary Panel Data Econometrics. He is also Visiting Professor in Econometrics at the Economics Department of Bergamo University (Italy) since 1992.

http://www.staff.city.ac.uk/~giourga/

Cost - The cost of the course is:

1st delegate
Euro 2.400 + IVA = Euro 2.880
2nd+ delegate Euro 1.950 + IVA = Euro 2.340

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

Day 1 - The linear regression model and alternative estimation methods
An Overview

Day 2 - Time series models and econometric methodologies
Applications:modeling linear factor models and financial assets

Day 3 -Unit roots and cointegration
Applications:testing for integration and co-movements in stock markets

Day 4 -Forecasting:Methods and combinaison forecasts, models for returns and volatility
Applications:modelling return, term structure and bond markets, exchange rates

Day 5 -PcGets
Application:Using PcGets to evaluate/measure the impact of macro-announcements on the term structure and exchange rates

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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