Course Announcement
ESRC Advanced Training Programme in Financial Econometrics

24-28 June 2013, Xfi Centre for Finance and Investment, University of Exeter Business School, UK

The Xfi Centre for Finance and Investment at the University of Exeter is offering a one-week residential advanced training course in financial econometrics, led by Professor Massimo Guidolin (University of Manchester and IGIER, Bocconi), Professor Lucio Sarno (City University), Professor Stephen Taylor (Lancaster University), Professor Viktor Todorov (Northwestern University), Professor Paulo Zaffaroni (Imperial College). The workshop is funded by the ESRC and is particularly aimed at doctoral students in economics and finance and other researchers at an early stage in their careers.

COURSE DESCRIPTION: The course will cover a range of advanced topics in financial econometrics, including regime switching models in modern asset pricing, empirical asset pricing in currency markets, asset price prediction, volatility and density forecasts, an overview of high-frequency financial econometrics and factor models with finance applications. The course will be taught over five days, with lectures and tutorials supplemented by computer-based practical sessions during which students will have an opportunity to apply the financial econometric models to real world problems. Students will also be expected to undertake some work in their own time, either individually or in groups. It is assumed that participants will have knowledge of both econometrics and finance at the MSc level.

REGISTRATION: The registration fee is British Pound 100 for full-time postgraduate research students, British Pound 200 for academics and British Pound 500 for other participants. A limited number of free accommodation places are available to postgraduate research students based at UK universities.

FURTHER INFORMATION: Further details and registration forms can be found at http://www.xfi.exeter.ac.uk. Enquiries should be addressed to Jeanette Whitmore: J.Whitmore@exeter.ac.uk