CEMLA Course: Financial Econometrics
July 24 - 28, 2023
Videoconference
The Center for Latin American Monetary Studies conducted the "Financial Econometrics" course in digital format from July 24 to 28, 2023. The course's objective was to provide participants with tools in financial econometrics with an emphasis on applications for central banking. It was targeted at senior analysts, junior researchers, and mid-level officials in areas such as economic research, financial stability, and risk management of CEMLA central banks members. The course was taught by Santiago García-Verdú from the Directorate General of Central Bank Operations at Banco de México.
The first day involved a refresher of estimation methods—such as ordinary least squares, maximum likelihood, and generalized methods of moments; and time series models. On the second day, financial instruments such as futures and forwards were reviewed—covering definitions, pricing, futures forecasts of spot prices, Non-Deliverable-Forwards—as well as interest rate models, including interest rate compounding, some conventions, and term-structure and continuous time interest rate models. The third day, asset pricing models and options were studied using binomial trees to conceptualize the law of only one price, the no-arbitrage condition, and American and European options pricing.
On model estimation, the fourth day consisted of a revision on volatility and non-parametric models, the limitations of standard models for financial and macroeconomic time series were discussed and heteroscedastic models (GARCH and ARCH) were presented as an alternative; also yield-curve fitting with splines as well as kernel densities and regressions were covered. Finally, the last day was devoted to risk management—including Value-at-Risk (VaR) and estimation methods, risk theory, Expected Shortfall (CVaR), and Coherent Value-at-Risk (CoVaR)—, and a practical session on machine learning for financial and economic data.
Nelson R. Ramírez-Rondán
Nelson R. Ramírez-Rondán is a Researcher at the Center for Latin American Monetary Studies (CEMLA), and is Co-Editor of the Latin American Journal of Central Banking. Nelson holds a Ph.D. in Economics from the University of Wisconsin-Madison (USA), a Master's degree in Mathematics and a Bachelor's degree in Economics from the Pontifical Catholic University of Peru. His research focuses on econometric theory, empirical macroeconomics and monetary policy. His publications appear in Econometric Reviews, Macroeconomic Dynamics, Empirical Economics, Review of World Economics, Research in Labor Economics, Studies in Nonlinear Dynamics & Econometrics, Finance Research Letters, among others.