Finansų ekonometrija (GRAE018)

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Course goals

The goal of the course is to provide students with basic econometric tools for the analysis of financial data, including cross-sectional, time-series (stationary and non-stationary), and panel data. The course aims to improve students understanding of the main principles and concepts of applied econometric analysis, improve their ability to select the adequate modelling approach for a problem at hand, estimate its parameters, validate the outcome, and interpret the results. This includes, but is not limited to: predicting returns on risky assets, forecasting volatility of bond returns, modelling exchange rates and commodity prices, testing the models in real-time, and many other.

Course results

Upon successful completion of this course, students will be able to:

  • Understand the key concepts and instruments of regression analysis and its role financial econometrics.
  • Demonstrate the ability to carry out the econometric project including, but not limited to: data preparation and diagnostics, specification of econometric model, selection of the appropriate techniques.
  • Present the model outcomes both at advanced and intuitive levels; interpret the estimation output from economic and statistical point of view.
  • Apply estimated econometric models for analytics and forecasting.


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