{"id":3725,"date":"2025-09-26T22:34:47","date_gmt":"2025-09-26T19:34:47","guid":{"rendered":"https:\/\/www.accis.ihu.gr\/?post_type=course&#038;p=3725"},"modified":"2026-10-16T12:55:44","modified_gmt":"2026-10-16T09:55:44","slug":"283-250805","status":"publish","type":"course","link":"https:\/\/www.accis.ihu.gr\/en\/courses\/283-250805\/","title":{"rendered":"Financial Econometrics"},"author":6,"template":"","meta":[],"semester":[41],"course_type":[12],"acf":{"code":"283-250805","semester":41,"level":"1","teaching_activities":{"activity_1":{"description":"\u0394\u03b9\u03b1\u03bb\u03ad\u03be\u03b5\u03b9\u03c2","weekly_hrs":3,"ects":4},"activity_2":{"description":"","weekly_hrs":"","ects":""},"activity_3":{"description":"","weekly_hrs":"","ects":""},"activity_4":{"description":"","weekly_hrs":"","ects":""},"activity_5":{"description":"","weekly_hrs":"","ects":""}},"type":12,"language":"\u0395\u03bb\u03bb\u03b7\u03bd\u03b9\u03ba\u03ac","erasmus":"\u038c\u03c7\u03b9","url":"","prerequisites":"","instructors":[2731],"coordinator":"","content":"<ol>\r\n \t<li>\u0392\u03b1\u03c3\u03b9\u03ba\u03ad\u03c2 \u03ad\u03bd\u03bd\u03bf\u03b9\u03b5\u03c2 (\u03a7\u03c1\u03bf\u03bd\u03b9\u03ba\u03ae \u03c3\u03b5\u03b9\u03c1\u03ac, \u03a3\u03c4\u03bf\u03c7\u03b1\u03c3\u03c4\u03b9\u03ba\u03ae \u03b4\u03b9\u03b1\u03b4\u03b9\u03ba\u03b1\u03c3\u03af\u03b1, \u039b\u03b5\u03c5\u03ba\u03cc\u03c2 \u03b8\u03cc\u03c1\u03c5\u03b2\u03bf\u03c2, \u03a4\u03c5\u03c7\u03b1\u03af\u03bf\u03c2 \u03c0\u03b5\u03c1\u03af\u03c0\u03b1\u03c4\u03bf\u03c2, \u039f\u03bb\u03bf\u03ba\u03bb\u03b7\u03c1\u03c9\u03bc\u03ad\u03bd\u03b7 \u03c7\u03c1\u03bf\u03bd\u03b9\u03ba\u03ae \u03c3\u03b5\u03b9\u03c1\u03ac, \u039a\u03af\u03b2\u03b4\u03b7\u03bb\u03b5\u03c2 \u03c0\u03b1\u03bb\u03b9\u03bd\u03b4\u03c1\u03bf\u03bc\u03ae\u03c3\u03b5\u03b9\u03c2)<\/li>\r\n \t<li>\u03a3\u03c4\u03b1\u03c3\u03b9\u03bc\u03cc\u03c4\u03b7\u03c4\u03b1\/ \u0388\u03bb\u03b5\u03b3\u03c7\u03bf\u03b9 \u039c\u03bf\u03bd\u03b1\u03b4\u03b9\u03b1\u03af\u03b1\u03c2 \u03a1\u03af\u03b6\u03b1\u03c2 (\u0395\u03c6\u03b1\u03c1\u03bc\u03bf\u03b3\u03ad\u03c2 \u03bc\u03b5 \u03c4\u03bf \u039f\u03b9\u03ba\u03bf\u03bd\u03bf\u03bc\u03b5\u03c4\u03c1\u03b9\u03ba\u03cc \u03a0\u03b1\u03ba\u03ad\u03c4\u03bf Eviews).<\/li>\r\n \t<li>\u03a5\u03c0\u03bf\u03b4\u03b5\u03af\u03b3\u03bc\u03b1\u03c4\u03b1 AR, MA, ARMA, ARIMA<\/li>\r\n \t<li>\u039c\u03b5\u03b8\u03bf\u03b4\u03bf\u03bb\u03bf\u03b3\u03af\u03b1 Box-Jenkins<\/li>\r\n \t<li>\u03a0\u03c1\u03bf\u03b2\u03bb\u03ad\u03c8\u03b5\u03b9\u03c2<\/li>\r\n \t<li>\u03a5\u03c0\u03bf\u03b4\u03b5\u03af\u03b3\u03bc\u03b1\u03c4\u03b1 ARCH-GARCH<\/li>\r\n \t<li>\u0391\u03c0\u03bf\u03c4\u03b5\u03bb\u03b5\u03c3\u03bc\u03b1\u03c4\u03b9\u03ba\u03cc\u03c4\u03b7\u03c4\u03b1, \u03a0\u03c1\u03bf\u03b2\u03bb\u03b5\u03c0\u03c4\u03b9\u03ba\u03ae \u0399\u03ba\u03b1\u03bd\u03cc\u03c4\u03b7\u03c4\u03b1 \u03ba\u03b1\u03b9 \u03b1\u03c3\u03c4\u03ac\u03b8\u03b5\u03b9\u03b1 \u03c4\u03c9\u03bd \u03c7\u03c1\u03b7\u03bc\u03b1\u03c4\u03bf\u03bf\u03b9\u03ba\u03bf\u03bd\u03bf\u03bc\u03b9\u03ba\u03ce\u03bd \u03c7\u03c1\u03bf\u03bd\u03b9\u03ba\u03ce\u03bd \u03c3\u03b5\u03b9\u03c1\u03ce\u03bd.<\/li>\r\n \t<li>\u0388\u03bb\u03b5\u03b3\u03c7\u03bf\u03c2 \u03c4\u03b7\u03c2 \u03b1\u03c0\u03bf\u03c4\u03b5\u03bb\u03b5\u03c3\u03bc\u03b1\u03c4\u03b9\u03ba\u03cc\u03c4\u03b7\u03c4\u03b1\u03c2 \u03c4\u03b7\u03c2 \u03b1\u03b3\u03bf\u03c1\u03ac\u03c2 \u03ba\u03b1\u03b9 time varying risk premium: \u03bc\u03b5\u03c4\u03bf\u03c7\u03ad\u03c2, \u03bf\u03bc\u03cc\u03bb\u03bf\u03b3\u03b1, \u03c3\u03c5\u03bd\u03b1\u03bb\u03bb\u03b1\u03b3\u03bc\u03b1\u03c4\u03b9\u03ba\u03ad\u03c2 \u03b9\u03c3\u03bf\u03c4\u03b9\u03bc\u03af\u03b5\u03c2.<\/li>\r\n<\/ol>","goals":"\u03a3\u03ba\u03bf\u03c0\u03cc\u03c2 \u03c4\u03bf\u03c5 \u03bc\u03b1\u03b8\u03ae\u03bc\u03b1\u03c4\u03bf\u03c2 \u03b5\u03af\u03bd\u03b1\u03b9 \u03bd\u03b1 \u03b5\u03b9\u03c3\u03ac\u03b3\u03b5\u03b9 \u03c4\u03bf\u03bd \u03c6\u03bf\u03b9\u03c4\u03b7\u03c4\u03ae \u03c3\u03c4\u03b9\u03c2 \u03b2\u03b1\u03c3\u03b9\u03ba\u03ad\u03c2 \u03ad\u03bd\u03bd\u03bf\u03b9\u03b5\u03c2 ...\r\n\r\n\u039c\u03b5 \u03c4\u03b7\u03bd \u03b5\u03c0\u03b9\u03c4\u03c5\u03c7\u03ae \u03bf\u03bb\u03bf\u03ba\u03bb\u03ae\u03c1\u03c9\u03c3\u03b7 \u03c4\u03bf\u03c5 \u03bc\u03b1\u03b8\u03ae\u03bc\u03b1\u03c4\u03bf\u03c2 \u03bf \u03c6\u03bf\u03b9\u03c4\u03b7\u03c4\u03ae\u03c2\/\u03c4\u03c1\u03b9\u03b1 \u03b8\u03b1 \u03b5\u03af\u03bd\u03b1\u03b9 \u03c3\u03b5 \u03b8\u03ad\u03c3\u03b7:\r\n<ul>\r\n \t<li>\u039d\u03b1 \u03b1\u03bd\u03b1\u03bb\u03cd\u03b5\u03b9 \u03c4\u03b7\u03bd...<\/li>\r\n \t<li>\u039d\u03b1 \u03c0\u03b5\u03c1\u03b9\u03b3\u03c1\u03ac\u03c6\u03b5\u03b9 \u03c4\u03b9\u03c2...<\/li>\r\n \t<li>\u039d\u03b1 \u03ba\u03b1\u03c4\u03b1\u03bd\u03bf\u03b5\u03af \u03c4\u03bf...<\/li>\r\n \t<li>\u039d\u03b1 \u03c3\u03c5\u03b3\u03ba\u03c1\u03af\u03bd\u03b5\u03b9 \u03c4\u03b1...<\/li>\r\n<\/ul>","skills":"<ol>\r\n \t<li>\u0391\u03bd\u03b1\u03b6\u03ae\u03c4\u03b7\u03c3\u03b7, \u03b1\u03bd\u03ac\u03bb\u03c5\u03c3\u03b7 \u03ba\u03b1\u03b9 \u03c3\u03cd\u03bd\u03b8\u03b5\u03c3\u03b7 \u03b4\u03b5\u03b4\u03bf\u03bc\u03ad\u03bd\u03c9\u03bd \u03ba\u03b1\u03b9 \u03c0\u03bb\u03b7\u03c1\u03bf\u03c6\u03bf\u03c1\u03b9\u03ce\u03bd, \u03bc\u03b5 \u03c4\u03b7 \u03c7\u03c1\u03ae\u03c3\u03b7 \u03ba\u03b1\u03b9 \u03c4\u03c9\u03bd \u03b1\u03c0\u03b1\u03c1\u03b1\u03af\u03c4\u03b7\u03c4\u03c9\u03bd \u03c4\u03b5\u03c7\u03bd\u03bf\u03bb\u03bf\u03b3\u03b9\u03ce\u03bd<\/li>\r\n \t<li>\u039b\u03ae\u03c8\u03b7 \u03b1\u03c0\u03bf\u03c6\u03ac\u03c3\u03b5\u03c9\u03bd<\/li>\r\n \t<li>\u0391\u03c5\u03c4\u03cc\u03bd\u03bf\u03bc\u03b7 \u0395\u03c1\u03b3\u03b1\u03c3\u03af\u03b1<\/li>\r\n \t<li>\u03a0\u03b1\u03c1\u03b1\u03b3\u03c9\u03b3\u03ae \u03bd\u03ad\u03c9\u03bd \u03b5\u03c1\u03b5\u03c5\u03bd\u03b7\u03c4\u03b9\u03ba\u03ce\u03bd \u03b9\u03b4\u03b5\u03ce\u03bd<\/li>\r\n<\/ol>","teaching_methods":"\u03a0\u03c1\u03cc\u03c3\u03c9\u03c0\u03bf \u03bc\u03b5 \u03c0\u03c1\u03cc\u03c3\u03c9\u03c0\u03bf","ict_usage":"\u03a5\u03c0\u03bf\u03c3\u03c4\u03ae\u03c1\u03b9\u03be\u03b7 \u039c\u03b1\u03b8\u03b7\u03c3\u03b9\u03b1\u03ba\u03ae\u03c2 \u03b4\u03b9\u03b1\u03b4\u03b9\u03ba\u03b1\u03c3\u03af\u03b1\u03c2 \u03bc\u03ad\u03c3\u03c9 \u03c4\u03b7\u03c2 \u03b7\u03bb\u03b5\u03ba\u03c4\u03c1\u03bf\u03bd\u03b9\u03ba\u03ae\u03c2 \u03c0\u03bb\u03b1\u03c4\u03c6\u03cc\u03c1\u03bc\u03b1\u03c2 e-class\r\n\r\n\u03a7\u03c1\u03ae\u03c3\u03b7 \u03bf\u03b9\u03ba\u03bf\u03bd\u03bf\u03bc\u03b5\u03c4\u03c1\u03b9\u03ba\u03bf\u03cd \u03bb\u03bf\u03b3\u03b9\u03c3\u03bc\u03b9\u03ba\u03bf\u03cd E-Views","teaching_organization":{"activity_1":{"description":"\u0394\u03b9\u03b1\u03bb\u03ad\u03be\u03b5\u03b9\u03c2","workload":26},"activity_2":{"description":"\u0395\u03ba\u03bc\u03ac\u03b8\u03b7\u03c3\u03b7 \u03bb\u03bf\u03b3\u03b9\u03c3\u03bc\u03b9\u03ba\u03bf\u03cd E-Views \u03bc\u03b5 \u03c4\u03b7 \u03b2\u03bf\u03ae\u03b8\u03b5\u03b9\u03b1  \u03c5\u03c0\u03bf\u03bb\u03bf\u03b3\u03b9\u03c3\u03c4\u03ce\u03bd  \u03c3\u03b5 \u0395\u03c1\u03b3\u03b1\u03c3\u03c4\u03ae\u03c1\u03b9\u03bf","workload":44},"activity_3":{"description":"\u0391\u03c5\u03c4\u03bf\u03c4\u03b5\u03bb\u03ae\u03c2 \u039c\u03b5\u03bb\u03ad\u03c4\u03b7","workload":30},"activity_4":{"description":"","workload":""},"activity_5":{"description":"","workload":""},"activity_6":{"description":"","workload":""}},"students_evaluation":"<strong>\u0393\u03c1\u03b1\u03c0\u03c4\u03ae \u0395\u03c1\u03b3\u03b1\u03c3\u03af\u03b1 30%<\/strong>\r\n\r\n<strong>\u0393\u03c1\u03b1\u03c0\u03c4\u03ae \u03c4\u03b5\u03bb\u03b9\u03ba\u03ae \u03b5\u03be\u03ad\u03c4\u03b1\u03c3\u03b7 70%<\/strong>","bib_textbooks":"1) \u0394\u03c1\u03b9\u03c4\u03c3\u03ac\u03ba\u03b7\u03c2, \u039d., \u0394\u03c1\u03b9\u03c4\u03c3\u03ac\u03ba\u03b7 \u03a7. \u03ba\u03b1\u03b9 \u0394\u03c1\u03b9\u03c4\u03c3\u03ac\u03ba\u03b7 \u039c. (2022) \u0395\u03b9\u03c3\u03b1\u03b3\u03c9\u03b3\u03ae \u03c3\u03c4\u03b7 \u03a7\u03c1\u03b7\u03bc\u03b1\u03c4\u03bf\u03bf\u03b9\u03ba\u03bf\u03bd\u03bf\u03bc\u03b9\u03ba\u03ae \u039f\u03b9\u03ba\u03bf\u03bd\u03bf\u03bc\u03b5\u03c4\u03c1\u03af\u03b1 \u03bc\u03b5 \u03c4\u03b7 \u03c7\u03c1\u03ae\u03c3\u03b7 \u03c4\u03bf\u03c5 \u03bb\u03bf\u03b3\u03b9\u03c3\u03bc\u03b9\u03ba\u03bf\u03cd \u0395Views, \u0395\u03ba\u03b4\u03cc\u03c3\u03b5\u03b9\u03c2 \u039a\u03bb\u03b5\u03b9\u03b4\u03ac\u03c1\u03b9\u03b8\u03bc\u03bf\u03c2, \u0391\u03b8\u03ae\u03bd\u03b1\r\n\r\n2) \u0394\u03b7\u03bc\u03ad\u03bb\u03b7 \u03a3. (2013) \u03a3\u03cd\u03b3\u03c7\u03c1\u03bf\u03bd\u03b5\u03c2 \u039c\u03ad\u03b8\u03bf\u03b4\u03bf\u03b9 \u0391\u03bd\u03ac\u03bb\u03c5\u03c3\u03b7\u03c2 \u03a7\u03c1\u03bf\u03bd\u03bf\u03bb\u03bf\u03b3\u03b9\u03ba\u03ce\u03bd \u03a3\u03b5\u03b9\u03c1\u03ce\u03bd, \u0395\u03ba\u03b4\u03cc\u03c3\u03b5\u03b9\u03c2 \u039f\u03a0\u0391, \u0391\u03b8\u03ae\u03bd\u03b1\r\n\r\n3) Chris Brooks (2022) \u0395\u03b9\u03c3\u03b1\u03b3\u03c9\u03b3\u03ae \u03c3\u03c4\u03b7\u03bd \u03a7\u03c1\u03b7\u03bc\u03b1\u03c4\u03bf\u03bf\u03b9\u03ba\u03bf\u03bd\u03bf\u03bc\u03b9\u03ba\u03ae \u039f\u03b9\u03ba\u03bf\u03bd\u03bf\u03bc\u03b5\u03c4\u03c1\u03af\u03b1, \u0395\u03ba\u03b4\u03cc\u03c3\u03b5\u03b9\u03c2 Gutenberg, \u0391\u03b8\u03ae\u03bd\u03b1\r\n\r\n4) Campbell J., A. Lo and G. MacKinlay, (1997) The Econometrics of Financial Markets, Princeton Univ. Press\r\n\r\n5) Hamilton J. D. (1994) Time Series Analysis, Princeton University Press.\r\n\r\n6) Mills T. and R Markellos (2008) The Econometric Modelling of Financial Time Series, Cambridge Univ. Press","bib_journals":"1) Dritsaki M. and Dritsaki, C. (2021). \u201cComparison of the Holt-Winters exponential smoothing method with ARIMA models: Forecasting of GDP per capita in five Balkan countries members of European Union (EU) post COVID\u201d, Modern Economy, Vol.12 No.12, pp.1972-1998. (Impact Factor).\r\n\r\n2) Dritsaki M. and Dritsaki, C. (2020). \u201cForecasting European Union CO2 emissions using autoregressive integrated moving average-autoregressive conditional heteroscedasticity models\u201d, International Journal of Energy Economics and Policy, Vol.10, No.4, pp.411-423. (Impact Factor, Scopus)\r\n\r\n3) Dritsaki C. (2019). \u201cModeling the volatility of exchange rate currency using GARCH model\u201d, Economia Internazionale, Vol.72, No.2, pp.209-230. (Impact Factor).\r\n\r\n4) Dritsaki C. (2018). \u201cThe performance of hybrid ARIMA-GARCH modelling and forecasting oil price\u201d International Journal of Energy Economics and Policy, Vol.8, No.3, pp.14-21. (Scopus, Impact Factor).\r\n\r\n5) Dritsaki C. (2017). \u201cAn empirical evaluation in GARCH volatility modeling: Evidence from the Stockholm stock exchange\u201d Journal of Mathematical Finance, Vol.7, No.2, pp.366-390. (Scopus, Impact Factor)."},"_links":{"self":[{"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/course\/3725"}],"collection":[{"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/course"}],"about":[{"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/types\/course"}],"author":[{"embeddable":true,"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/users\/6"}],"version-history":[{"count":8,"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/course\/3725\/revisions"}],"predecessor-version":[{"id":5033,"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/course\/3725\/revisions\/5033"}],"acf:post":[{"embeddable":true,"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/staff\/2731"}],"acf:term":[{"embeddable":true,"taxonomy":"course_type","href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/course_type\/12"},{"embeddable":true,"taxonomy":"semester","href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/semester\/41"}],"wp:attachment":[{"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/media?parent=3725"}],"wp:term":[{"taxonomy":"semester","embeddable":true,"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/semester?post=3725"},{"taxonomy":"course_type","embeddable":true,"href":"https:\/\/www.accis.ihu.gr\/en\/wp-json\/wp\/v2\/course_type?post=3725"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}