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Course 2011-2012 a.y.

30188 - INTRODUCTORY FINANCIAL ECONOMETRICS


CLEAM - CLEF - CLEACC - BESS-CLES - BIEMF
Department of Finance

Course taught in English


Go to class group/s: 31

CLEAM (6 credits - II sem. - OP  |  SECS-P/11) - CLEF (6 credits - II sem. - OP  |  SECS-P/11) - CLEACC (6 credits - II sem. - OP  |  SECS-P/11) - BESS-CLES (6 credits - II sem. - OP  |  SECS-P/11) - BIEMF (6 credits - II sem. - OP  |  SECS-P/11)
Course Director:
DANIELA KOLUSHEVA

Classes: 31 (II sem.)
Instructors:
Class 31: DANIELA KOLUSHEVA


Course Objectives
The objective of this course is to introduce the main econometric methods and techniques used in empirical finance. The emphasis is on applications rather than econometric theory. We use real financial data and the statistical package EViews to tackle interesting issues in finance. Class lectures are supplemented by computer lab sections. Students leave the course with a solid foundation in many of the tools used in modern financial time series and quantitative finance.

Course Content Summary
  • Brief review of probability and statistics.
  • Introduction to Eviews.
  • Linear regression model: basics and extensions. Application: CAPM.
  • Univariate time-series modeling and forecasting. Application: ARMA modeling of asset prices.
  • Multivariate models. Application: Using VAR to model the interaction between property returns and the macroeconomy.
  • Modeling long-run relationships in finance. Application: Cointegrated VAR and long-run risk.
  • Modeling volatility and correlation. Application: time-varying hedge ratios.

Detailed Description of Assessment Methods
  There is a written final exam, focusing on:
  • the econometric methods introduced in class
  • stylized facts about the data used in the empirical applications
  • interpreting results of empirical studies in the area of finance (although the exam is not computer-based, there might be questions asking you to interpret regression results from EViews similar to the exercises in class)

Textbooks
C. BROOKS, Introductory Econometrics for Finance, Cambridge University Press, 2008, 2nd Edition, ch. 1-8.

Prerequisites
 

Students are expected to have attended a core course in statistics and to be familiar with undergraduate calculus and linear algebra. Prior exposure to financial courses (financial markets and institutions, investments and corporate finance) would be useful to understand the applications covered in class.

Last change 21/04/2011 14:47