Lecture 1.pdf - Advanced Topics in Finance(FEM21032 Several advanced methods models[1 Bayesian econometrics in finance Lennart Hoogerheide Nalan

Lecture 1.pdf - Advanced Topics in Finance(FEM21032 Several...

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1 Advanced Topics in Finance (FEM21032) Several advanced methods & models: [1] Bayesian econometrics in finance: Lennart Hoogerheide & Nalan Baştürk [email protected] [email protected] H11-28 (late afternoon…) H11-12 [2] The econometrics of Asset Liability Management: ORTEC
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2 Lecture Scheme: (room: C2-057) Week 2 - 4 ( Friday 13:00-15:45 ): Bayesian econometrics: a different statistical framework and corresponding methods Week 2: Lennart Hoogerheide Week 3 & 4: Nalan Baştürk Week 5 - 7 ( Monday 14:00-16:45 ): Asset Liability Management (ALM) (a.o. ‘strategic risk management’) Week 8 ( Friday 13:00-15:45 ): Bayesian econometrics: summary / discussion of ‘test exam’ exercises Exam: Week 9: Friday 4 March 2011 18:30-21:30 Week 27: Friday 8 July 2011 13:30-16:30
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3 Extra motivation for Bayesian econometrics: good business …. My own research: Development of new (simulation) methods for Bayesian econometrics: September 2006: Journal of Applied Econometrics award: 1.800 euro December 2006: EUR fellowship : 200.000 euro January 2009: ESE Top Talent Researcher : 10.000 euro November 2009: NWO Veni grant : 250.000 euro November 2010: Teacher of the year 2009-2010 : 1.000 euro Total: 462.800 euro (1.019.877 guilder) Arnold Zellner (famous statistician): “ It pays to go Bayes.
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4 Points for Bayesian part of the course (50% of total grade): 80% exam (individual….) 20% take-home assignments (individual) Course material for Bayesian part of the course: - Hoogerheide et al. (2009) “Simulation Based Bayesian Econometric Inference: Principles & Some Recent Computational Advances” (Chapter in Handbook of Computational Econometrics ) Not: section 3.5 (p. 50 - 64) on very advanced simulation methods of a.o. Hoogerheide et al. (2007, Journal of Econometrics ). - slides (some material not in Chapter ) - assignments (perhaps accompanied with - some explanation files) € 127,- (book: Donner) € 119,- (digital: bol.com) € 0,- (chapter: BlackBoard)
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5 Financial econometrics: some advanced methods & models: Lectures 1-3: Bayesian econometrics: a different method of statistical analysis (vs. estimating with maximum likelihood, testing with p-values). Purpose: - learn some new ‘tools’ for your ‘econometric toolbox’ - remind limitations of methods/models that you already know (- learn limitations of new tools….) Some questions may arise: - Are these some of the hobbies of the teachers? - Are these difficult topics? bleftright Do you need to worry?
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6 Outline lecture 1 [1] motivation for topics of Bayesian part of this course: Why use Bayesian statistics? - What is ‘wrong ’ with classical statistics? - What is particularly good about Bayesian statistics? [2] Principles of Bayesian statistics (What is a ….? p.1 - 20 of Chapter ): - terminology (prior, posterior) - Bayesian hypothesis test & model selection (Highest Posterior Density, Posterior Odds) - examples of simple models: - Bernoulli / Binomial distribution - linear model with normal errors Following lectures: simulation methods and applications for particular models.
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7 Motivation: Why Bayesian statistics? What is ‘wrong’ with classical statistics?
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  • Fall '19
  • Likelihood function, Bayesian inference, Bayesian statistics

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