After completing this course participants will

• have the ability to apply and interpret the results of regression analyses
• be familiar with key aspects relevant for the specification of a regression model
• understand the relevance and implications of various assumptions in each step of the analysis
• know why and how specific properties of regression residuals must be tested
• understand the consequences of violations of certain assumptions, and know how to account for them
• be familiar with basic definitions of financial returns, and able to derive and interpret their empirical (dynamic) properties
• know how to distinguish non-stationary from stationary series and how to apply unit-root tests
• understand the purpose and the basic principles of GARCH models, and how to estimate and test such models

The course is taught using a combination of lectures and practical examples demonstrated in class. The lectures are aimed at establishing a sound understanding of the main ideas and basic principles of econometric methods and analyses. Special emphasis is put on applications using financial data.