Training Workshop on Econometric Analysis of Financial Time Series
The Economic Research Forum (ERF) is pleased to announce the opportunity for some 20 participants from the MENA region to participate in a hands-on training workshop on econometric analysis of financial time series. ERF will cover the cost of travel and accommodation of successful applicants.
The workshop focus is econometric methods for the analysis of financial time series. The topics to be covered include:
CAPM and consumption-based CAPM
volatility modelling and forecasting (including high-frequency data)
portfolio optimization and high-dimensional covariance matrices
risk measurement (VaR, expected shortfall, fat-tailed distributions)
model selection methods
factor pricing models
nonstationary models for financial time series
Emphasis will be on state-of-the-art techniques and their applications to selected datasets. The workshop will be computer-based, and participants will learn how to apply these methods in R and E-views. Each participant must have his own laptop with E-views and R installed. Prior knowledge of these software packages is desirable. Participants are expected to write a paper utilizing some of these methods to a dataset of their choice, and deliver it 6 months after the workshop. The paper will be subject to a refereeing process, and published in the ERF Working Paper Series if approved.
The workshop will be conducted mainly in English, with the possibility of using Arabic if needed. The workshop will be held on the ERF premises in Cairo during August 9-11, 2015.
The training will be delivered by Mahmoud El Gamal (Rice University) and Diaa Noureldin (American University in Cairo). A short biography is included at the end of this announcement.
The workshop is part of the capacity-building activities under ERF’s Arab Spring Development Initiative (ASDI).
Applicants should be:
Researchers from the ERF region with MAs or PhDs or in the process of completing these degrees.
Less than 40 years of age.
Trained in statistics or econometrics and able to use statistical programs. Priority will be given for those who are knowledgeable about R and/or E-views.
Familiar with the management and analysis of financial time series, primarily data on daily returns.
Priority will be given to those who have not attended previous ERF workshops.
Applications must include a curriculum vitae (CV) with a minimum of one reference name and a motivation letter indicating why the candidate is interested in the topic of the workshop and how it relates to his/her research.
Deadline for submissions: July 5th, 2015
Day 1 (August 9):
09:00-09:30: General introduction Mahmoud El-Gammal and Diaa Noureldin
09.30-11.00: Introduction to financial time series Diaa Noureldin
11:30-13:00: Capital-Asset pricing model (why is volatility important?) Mahmoud El-Gamal
14:00-15:30: Univariate volatility modelling and forecasting I Diaa Noureldin
15:45-17:15 Consumption based-CAPM Mahmoud El-Gamal
Day 2 (August 10):
09:00-10:30 Univariate volatility modelling and forecastingII Diaa Noureldin
11:00-12:30 Portfolio optimization and risk measurement Mahmoud El-Gamal
13.30-15.00 Value-at-Risk (VaR), expected shortfall and density forecasting Diaa Noureldin
15:30-17:00 Risk measurement with fat tailed distributions Mahmoud El-Gamal
Day 3 (August 11):
09:00-10:30 Out-of-sample model selection: Theory and applications Diaa Noureldin
11:00-12:30 Factor pricing models Mahmoud El-Gamal
13:30-15:00 Recent advances in volatility modelling: High-frequency data and non-stationary volatility models Diaa Noureldin
15:30-17:00 Non-stationarity in the strict sense Mahmoud El-Gamal
Instructors’ Short Biography
Dr. Mahmoud A. El-Gamal, is a professor in the Department of Economics at Rice University, where he also holds the endowed Chair in Islamic Economics, Finance and Management. He is also a Rice scholar at the Baker Institute at Rice University. Before joining Rice in 1998, he was an associate professor of economics at the University of Wisconsin–Madison. He has also worked as an assistant professor at the University of Rochester and the California Institute of Technology; as an economist at the Middle East department of the International Monetary Fund (1995-1996); and as the first scholar-in-residence on Islamic finance at the U.S. Department of Treasury (2004). El-Gamal has published extensively on finance, econometrics, decision science, economics of the Middle East and Islamic transactions law. His recent books include “Islamic Finance: Law, Economics and Practice” (Cambridge University Press, 2006) and “Oil, Dollars, Debt and Crises: The Global Curse of Black Gold” with Amy Myers Jaffe (Cambridge University Press, 2010).
Dr. Diaa Noureldin is assistant professor of economics at the American University in Cairo (AUC). He holds a DPhil (2011) and MPhil (2009) in economics from the University of Oxford, and an MA (2004) and BA (2000) in economics from AUC. His research interests are in theoretical and applied econometrics, with a focus on modelling and forecasting financial time series. Noureldin’s research is published in top-tier international journals, and is regularly cited in studies on the use of high-frequency financial data in risk forecasting. He has teaching experience at AUC and Oxford, and prior work and consulting experience for the government of Egypt, the Oxford-Man Institute of Quantitative Finance, the United Nations Industrial Development Organization, and the United Nations Conference on Trade and Development.