Courses in financial economics and econometrics
For the last several years, I have had the opportunity of giving lectures to Ph.D. students at the University of Carlos III and, before that, at the University of Rome at Tor Vergata. Now I also am teaching a course to students in the Master's in Finance program at Trinity College, Dublin.
I am an adjunct professor at the University of Carlos III in Madrid. The lectures since 2005 have been on a variety of topics, including economic growth and financial development, banking panics and historical banking. I lecture for about ten or so hours during a week to Ph.D. students in Business, including fields other than finance.
I also am an adjunct at Trinity College, Dublin where I teach a course on financial econometrics. I teach the whole course in one week — about 20 to 30 hours of lectures in a week. Students do not learn the material in one week of course, but they generally do quite well.
Several years ago now, I gave lectures at the University of Rome at Tor Vergata to Ph.D. students at the University of Rome at Tor Vergata in a couple of different weeks. The lectures are introductions to the subjects covered. The lectures at the University of Rome generally were on Financial Econometrics.
The one lecture at Tor Vergata on a non-econometric topic was on rational expectations. Notes on Rational Expectations is a concise explanation of rational explanations comprehensible to graduate students. It has more English than math.
Financial Econometrics at Trinity College, Dublin
Since 2009, I have given a one-week, 30-hour course in Financial Econometrics at Trinity College, Dublin. (No, I didn't lecture on econometrics for 30 hours in one week. I would have died and the students would have been bored beyond bearing.) This course is for students in the Masters in Finance program. The exam is a few months after the lectures, so the students had my lectures, the book, what they learned doing detailed assignments plus occasional correspondence to help them actually learn the material. This works better than I had anticipated. Making up the lectures is a daunting task but the students are interested and an interesting group of people. The first year, many people sat through the lectures but only two people took the course for a grade. In 2011, about twenty students took the course for a grade.
The syllabus provides an overview of the course.
I divide the lectures by topics. These slides will be revised — and I hope improved — when I teach the course again in 2012. Still, I think the notes cover the topics reasonably well given the time available. I don't use any matrix algebra because it's not helpful for the students. Some things are covered in more detail than the textbook provides, such as estimation and especially maximum-likelihood estimation. The topics covered are: Estimation, Introduction to Financial Econometrics, Univariate linear time series, Multivariate time series, Unit roots and cointegration, Volatility (ARCH and variants), Multivariate volatility, Nonlinear time series, and Value at Risk. The coverage of the topics is nowhere near even in terms of time. A couple of topics were discussed for only an hour. Some others were discussed for four hours. I analyzed data in class on my computer in EViews, which students seem to like and find helpful for understanding the material.
I used Ruey Tsay's book Analysis of Financial Time Series 
The exams also are here, for the benefit of students thinking about whether or not to take the course. The emphasis is on being able to intelligently apply the techniques covered in class. Sometimes there is more than one final exam because of repeats due to failure or illness. I gave students some example questions the first year to reduce the uncertainty about the test. There was only one exam in 2009. There were two exams in 2010, a first one and a second one. There were two exams in 2011, a first one and a second one.
Financial Economics at Carlos III
The financial crisis of 2007-2008 and the ensuing sovereign debt crisis has been a hot topic since 2008. Given my focus on it at work, I have lectured on that turmoil at Carlos III since 2008. The students are different every year, so I'm not repeating material. Besides, quite a bit happens each year, research on the topic is expanding exponentially and I am learning a lot. The lecture on the financial crisis has grown. In addition, there is the continuing sovereign debt crisis in Europe (only there so far), which is interesting and very pertinent for students in Spain. Collateralized Debt Obligations were central to the crisis in many ways and I am working on paper on their pricing, so I talked about pricing CDOs also. With the run on the money market mutual funds in the U.S. punctuating the financial crisis proper, a brief lecture on bank runs became topical as well.
A technical note. In the lecture on pricing Collateralized Debt Obligations, I mentioned research in progress and included a regression with cointegrated variables and interest-rate spreads that do not have unit roots. These regressions are included because we were not done with the paper at the time and the regressions can be used to indicate that the cointegrating vector is related to the spreads. I made no claims about statistical significance. The analysis for that paper is done now and the paper is almost ready for circulation. I will include a link to that paper when it is ready for circulation.
In 2007, I discussed bubbles. The first two lectures introduce Bubbles in Asset Prices, discuss the major theories and summarize the empirical evidence. The experimental evidence generated the most spirited discussion, maybe partly because the students were unfamiliar with laboratory experiments in economics, finance and accounting. I also discussed estimation of Expected Returns at a more basic level than I might have made a similar presentation to finance students. This lecture partly reflects material in my paper with Cora Barnhart on "Returns to Investors in Stock in New Industries".
Bank runs and bubbles in financial markets were topic for the lectures at Carlos III in 2006. The first and second lectures were on Bank Runs, in which I focused on the issue of banks’ promises of what they cannot deliver in all states of the world -- everyone’s money back at the same time. The third and fourth lectures summarized the literature on the Free Banking episode in the U.S. This is a foreign experience for the students and shows that banking arrangements can be radically different than the current ones. These lectures are partly based on my own research discussed in the Panics link on this website. The fifth lecture is a brief introduction of Bubbles, much discussed but often not thoughtfully. These lectures are a prelude to the lectures in 2007.
Finance and growth was the topic for the lectures at Carlos III in 2005. The first lecture on Finance and Growth: Basic Issues Concerning Growth mostly is a summary of what is known about economic growth. The second lecture Economic Growth Theory and Financial Development briefly summarizes theories of economic growth and their relationship to financial development. Empirical Work on Economic Growth and Financial Development summarizes the empirical evidence. The last lecture on Topics on Finance and Growth: Policy and Data discusses some policy issues and issues concerning data and their use in many papers.
Financial Econometrics Lectures at the University of Rome
The lectures at the University of Rome at Tor Vergata are on “Nonlinear Time Series in Finance,” “Vector Autoregressions in Finance and Economics” and “Event Studies.” I wrote these lectures up as text discussions of the topics.
Nonlinear Time Series and Financial Applications is a very brief introduction to nonlinear time series based on two lectures at the University of Rome. Since there were four hours to cover what could take a full course or two, you know the coverage is brief! Some familiarity with linear time series analysis helps.
The Lecture Notes on Vector Autoregressions in Finance and Economics are elementary (for Ph.D. students!) Some references at the same level as the lecture are provided at the end of the notes.
The Lecture Notes on Event Studies provide a fairly thorough introduction without the details in Chapter 4 of Campbell, Lo and MacKinlay The Econometrics of Financial Markets. I know of no better source of information about event studies than their chapter. This somewhat simplified summary leaves out some complications that can obscure the basic points.