The aim of the course is to study and understand econometric techniques and methods applied in finance and especially financial time series.

At the end of the course, students will be able to specify, interpret and evaluate models, especially cointegration techniques to model long-term and short-term relationships among financial data, understand ARCH and GARCH models, and be able to apply them to financial assets with volatility clustering and dynamic asymmetry.

An important part of the course involves students' work by applying the models to real data. 

eclass: https://eclass.uop.gr/courses/2337/