Compulsory Courses

Financial Econometrics
Author: Date:26-11-2007 Hits:
 
Objectives and Requirements:
 
This course is a required course in financial related specialties. It is also the follow-up course after "econometrics", "statistics" and "finance". The core content is how to apply the econometrics method to study the problems in finance. The course is emphasizing grasping the fundamental knowledge in econometrics, also emphasizing use of econometric method for studying real finance problems flexibly. Empirical study is one of the main research methodologies in financial areas, especially in corporate finance. Mastering these methodologies will be able to improve the sustainable development space that the student develops in the field of scientific study. Therefore, Financial econometrics is an important basis course in finance.
This course hopes that students are able to master fundamental financial econometrics methodologies and the general processes in a research projects, moreover, are able to use econometrics method to study some practical problems in Chinese capital market preliminarily.
 
Contents:
 
Part I   Econometrics Basis
(1) Classical linear regression model. Including model setting, coefficients estimating, hypothesis testing; generalized linear regression model; censored regression model (Logit model, Probit model, Tobit model); Event study.
(2) Key points include coefficients estimating, hypothesis testing, the idea of censored regression model, and event study.
Part II   Univariate Time-Series Models
(1) Stationary stochastic processes and stationarity testing methods: CF, ACF, DF, ADF, PP.
(2) Key points include the basic idea of testing stationarity for time-series data, using Eviews software to testing the stationarity of a time-series data skillfully, knowing how to apply these method to study in some practical financial problems.
Part III   Multivariant Time-Series Models
(1) Cointegration , testing for cointegration
(2) Error Correcting Model (ECM)
(3) Granger causality test
(4) Key points include cointegration testing, granger causality testing.
Part IV (G)ARCH models and studies on variance characteristic of financial time-series
(1) Introduction to the arch models
(2) Classification of ARCH models
(3) Estimating and testing for (G)ARCH models
(4) Using (G)ARCH models in some topics form Chinese stock market's
Part V Seminar and Presentation
The students are divided into 10 groups with 6-7 people. And every group arranges a special subject which is closed related with the textbook. Every group is asked to give presentation. The teacher will discuss on every group. Topics are following:      
(1) The dividend policy of Chinese listed company.
(2) CAPM and three factor models in Chinese capital market
(3) Event study in testing for EMH in Chinese capital market
 
Credits: 3

Prerequisite Course:  Principles of  Statistics




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