This course introduces students to the empirical analysis of financial markets using econometric tools. It covers the modeling and testing of asset returns, market efficiency, volatility, and risk using time series techniques. Students will learn to apply methods such as unit root tests, autocorrelation analysis, ARCH/GARCH models, and variance ratio tests, with a focus on real financial data. The course combines theory, application, and hands-on use of econometric software (e.g., EViews, R, or Stata).
- Teacher: Kamel Malik BENSAFTA