School of Finance

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The HSE School of Finance is the leading Russian competence center in the field of corporate finance, business valuation, banking, stock market, risk management and insurance, accounting and audit.

HSE is the first Russian university in the global ranking "QS - World University Rankings by subject", 2022 in the subject area of Accounting and Finance. Moreover, the university is the 1-st in the rating "THE World University Rankings by subject" in the subject area of Business & Management Studies, 2022

Publications

Article

Investment in ESG Projects and Corporate Performance of Multinational Companies

Cherkasova V. A., Nenuzhenko I.

Journal of Economic Integration. 2022. Vol. 37. No. 1. P. 54-92.

Article

Bankruptcy factors at different stages of the lifecycle for Russian companies

Zelenkov Y., Fedorova E.

Electronic Journal of Applied Statistical Analysis. 2022. Vol. 15. No. 1. P. 187-210.

Working paper

Do Non-Interest Income Activities Matter For Banking Sector Efficiency? A Net Interest Margin Perspective

Kolade S. A., Semenova M.

Financial Economics. FE. Высшая школа экономики, 2022. No. WP BRP 87/FE/2022.

Article

Φ- и Ψ-преобразования, повышающие дискриминирующую силу немонотонных переменных скоринговой модели

Помазанов М. В.

Управление финансовыми рисками. 2022. Т. 70. № 2. С. 108-120.

Book chapter

Validation of the effectiveness of the bank retail portfolio risk management procedure

Pomazanov M. V.

In bk.: The 8th International Conference on Information Technology and Quantitative Management (ITQM 2020 & 2021): Developing Global Digital Economy after COVID-19. Vol. 199: The 8th International Conference on Information Technology and Quantitative Management (ITQM 2020 & 2021): Developing Global Digital Economy after COVID-19. Manchester: Elsevier, 2022. P. 798-805.

Article

CEO Power and Risk-taking: Intermediate Role of Personality Traits

Korablev D., Poduhovich D.

Journal of Corporate Finance Research. 2022. Vol. 16. No. 1. P. 136-145.

Article

Economic Growth Models and FDI in the CIS Countries During the Period of Digitalization

Olkhovik V., Lyutova O. I., Juchnevicius E.

Financial journal. 2022. Vol. 14. No. 2. P. 73-90.

Article

Special issue with the 2019 Future Directions in Accounting and Finance Education Conference, Moscow, Russia

Churyk N. T., Anna Vysotskaya, Kolk B. v.

Journal of Accounting Education. 2022. Vol. 58.

Book

Цифровая трансформация: ожидания и реальность: доклад к XXIII Ясинской (Апрельской) международной научной конференции по проблемам развития экономики и общества

Абдрахманова Г. И., Васильковский С. А., Вишневский К. О. и др.

М.: Издательский дом ГУ-ВШЭ, 2022.

Book

Тенденции развития интернета: от цифровых возможностей к цифровой реальности

Абдрахманова Г. И., Васильковский С. А., Вишневский К. О. и др.

М.: Национальный исследовательский университет "Высшая школа экономики", 2022.

Article

Разработка рейтинга проектных рисков для телекоммуникационной компании

Гришунин С. В., Сулоева С. Б., Пищалкина И. И.

Организатор производства. 2022. Т. 30. № 1. С. 60-72.

Article

Разработка механизма гибкого управления рисками в сфере телекоммуникаций

Гришунин С. В., Сулоева С. Б., Пищалкина И. И.

Экономический анализ: теория и практика. 2022. Т. 21. № 3. С. 478-496.

Article

Development of the horizon index to evaluate long-termism of Russian non-financial companies

S. Grishunin, E. Naumova, N. Lukshina et al.

Russian Management Journal. 2021. Vol. 19. No. 4. P. 475-493.

Article

Comparative Analysis of the Predictive Power of Machine Learning Models for Forecasting the Credit Ratings of Machine-Building Companies

Grishunin S., Egorova A.

Journal of Corporate Finance Research. 2022. Vol. 16. No. 1. P. 99-112.

Book chapter

Analysing the Determinants of Insolvency and Developing the Rating System for Russian Insurance Companies

Grishunin S., Bukreeva Alesya, Alyona A.

Book

International Conference “Future Directions in Accounting and Finance Education”, 27-28 May 2019, Moscow, Russia

Edited by: А. Б. Высотская, B. v. Kolk.

Vol. 58. Elsevier, 2022.

Article

Prudential policies and systemic risk: The role of interconnections

Karamysheva M., Seregina E.

Journal of International Money and Finance. 2022. Vol. 127.

Article

How do fiscal adjustments work? An empirical investigation
In press

Karamysheva M.

Journal of Economic Dynamics and Control. 2022. Vol. 137.

Article

Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations

Karamysheva M., Skrobotov A.

Journal of Economic Dynamics and Control. 2022. Vol. 138.

Article

ЛАТИНОАМЕРИКАНСКАЯ ТЕОЛОГИЯ ОСВОБОЖДЕНИЯ: ЭКОНОМИЧЕСКИЕ ПРЕДПОСЫЛКИ, СОСТОЯНИЕ, ОПЫТ ПРАВОСЛАВНОЙ РЕФЛЕКСИИ

Тихомиров Д. В.

Известия Санкт-Петербургского государственного экономического университета. 2022. № 4. С. 144-155.

Article

Контрциклическое финансирование как инструмент стимулирования инвестиционной активности (специфические варианты структурирования)

Тихомиров Д. В., Цехомский Н. В.

Экономика и управление. 2022. Т. 28. № 1. С. 16-24.

Article

Проблема эндогенности в корпоративных финансах: теория и практика

Селезнёва З. В., Евдокимова М. С.

Финансы: теория и практика. 2022. Т. 26. № 3. С. 64-84.

Book chapter

Students’ Survey: Propensity to Innovate

Evdokimova M., Stepanova A. N.

In bk.: 38th EBES Conference - Program and Abstract Book. Istanbul: EBES, 2022. P. 39.

Article

Prove them wrong: Do professional athletes perform better when facing their former clubs?

Assanskiy A., Shaposhnikov D., Tylkin I. et al.

Journal of Behavioral and Experimental Economics. 2022. Vol. 98.

Article

Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints

Teplova T., Mikova E., Munir Q. et al.

Economic Change and Restructuring. 2023. Vol. 56. No. 1. P. 515-535.

Article

Институциональные инвесторы, инвестиционный горизонт и корпоративное управление

Повх К. С., Кокорева М. С., Степанова А. Н.

Экономический журнал Высшей школы экономики. 2022. Т. 26. № 1. С. 9-36.

Article

Credit scoring methods: latest trends and points to consider

Anton Markov, Zinaida Seleznyova, Victor Lapshin.

Journal of Finance and Data Science. 2022. Vol. 8. P. 180-201.

All publications

Delivered by:: School of Finance

Type:: Elective course

When:: 4 year, 1, 2 module

Instructors

Karamysheva, Madina

Tsvetkova, Alena

Full Syllabus Ask Question

Abstract

We first review the basics of time series econometrics. Then, in more details, we look at the VAR class of models, including VAR, VARX, VECM, GVAR, and its rather broad application to macroeconomics, including fiscal and monetary policy and some finance applications. After that, we cover ARCH, GARCH with its application to value at risk and contagion. Course Prerequesites: Linear Algebra, Probability Theory, Mathematical Analysis, Basic Econometrics.

Learning Objectives

The objective of this course is to provide the student with tools for empirical analysis of time series and to show how econometric models can be applied to empirical models in macroeconomics and finance.

Expected Learning Outcomes

Apply econometric models to empirical models in macroeconomics and finance
Understand the difference between various univariate models, be able to analyze the process and choose an appropriate model.
Detect unit roots, understand the difference between stationarity and non-stationarity
being able to condust forecasting with ARIMA models
Being able to apply various identification schemes to SVAR models, being able to understand how VAR are estimate, how to construct IRF and FEVD
Being able to apply obtained knowledge to real-life finance, economics problems
Being able to estimate variaous conditional volatility models and apply them to real-life finance problems

Course Contents

Introduction/reviewing of time series econometrics
Non-stationarity
ARIMA
Multivariate Time Series Models. VAR
VAR applications
Modeling the conditional variance (ARCH, GARCH, Multivariate GARCH)

Assessment Elements

Quizzes
Home assignments
Big practical group project
Midterm test
Final test

Interim Assessment

2024/2025 2nd module
0.25 * Big practical group project + 0.25 * Final test + 0.2 * Home assignments + 0.25 * Midterm test + 0.025 * Quizzes + 0.025 * Quizzes

Bibliography

Recommended Core Bibliography

Applied econometric time series, Enders, W., 2004
James Douglas Hamilton. (2020). Time Series Analysis. Princeton University Press.

Recommended Additional Bibliography

Hamilton, J. D. . (DE-588)122825950, (DE-576)271889950. (1994). Time series analysis / James D. Hamilton. Princeton, NJ: Princeton Univ. Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.038453134

Authors

KARAMYSHEVA MADINA RINATOVNA

Times Series Econometrics

Instructors

Course Syllabus

Abstract

Learning Objectives

Expected Learning Outcomes

Course Contents

Assessment Elements

Interim Assessment

Bibliography

Recommended Core Bibliography

Recommended Additional Bibliography

Authors