CEMLA Course: Financial Econometrics

The Center for Latin American Monetary Studies (CEMLA) conducted the "Financial Econometrics" course in digital format from July 24 to 28, 2023. The course 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 Nelson Ramírez-Rondán from CEMLA.

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. The second day discussed expected returns on currencies as well as interest rate models. On the third day, asset pricing models and volatility models were studied. On model estimation, the fourth day consisted of a revision on non-parametric models, quantile regressions and Value-at-Risk (VaR). Finally, the last day was devoted to non-linear models and their applications to financial restrictions.