Code for the course "Advanced Financial Econometrics" at Aarhus University.

Topics include:

Time-varying parameter models:

• Latent class models for financial econometrics.
• Advances in GARCH models: Markov Switching GARCH and Mixture GARCH.
• Generalized Autoregressive Score models.
• Multivariate models for financial econometrics.
• Systemic risk measurement

Dynamic models of the term structure and exchange rates:

• Yield curve fitting, expectations hypothesis, affine specifications
• Factor models, latent and observed
• Non-linear and non-Gaussian representation
• The relation between term structure dynamics and the shape of the yield curve
• Term structure dynamics and DSGE models
• Foreign currency exchange rate analysis

High Frequency Econometrics:

• Realized measures (realized volatility, bipower variation, etc).
• Noise robust realized measures (pre-averaging estimator, realized kernel, etc).
• Jumps in high frequency data.
• Volatility forecasting with heterogeneous autoregressive (HAR) models and realized GARCH.
• Comparison of realized measures.
• Additional topics on realized measures, e.g. volume, liquidity, news announcements.