Econometrics, such as Wooldridge (2003) or Stock and Watson (2006). • Finance
, such ... Textbooks. Main textbook: Brooks (2008) , and the companion website.
Summer, 2009 (Ver 1)
Time Series/Financial Econometrics
Syllabus This course focuses on using and applying the techniques rather than deriving proofs and learning formulae. We will learn by example with EViews. How to tackle real-world problems are trained through case studies. The emphasis throughout the lectures is on a valid application of the techniques to real data and problems in finance and economic. Instructor Dr. Max Chen (CHEN Dengta) A405 WISE Tel: 86+592-218 5729(O) Email:
[email protected] Web: http://— Teaching Assistant CAO Nan,
[email protected] GUO Xun,
[email protected] Lecture Hours Wednesday, 19:00–22:00 Saturday, 09:00–12:00. From June 20th Office Hours Wednesday, 09:30–11:00 Prerequisites You should be familiar with • Econometrics, such as Wooldridge (2003) or Stock and Watson (2006) • Finance, such as Bodie and Merton (1999). Other good books maybe: Brealey et al. (2008) (corporate finance); Bodie et al. (2008) (investment); and Hull (2006) (derivatives)
Course outline The following topics will be covered • Review of OLS (ordinary least squares) • ARMA (autoregressive moving average) • ARCH (autoregressive conditional heteroscedasticity) 1
• Cointegration • VAR (vector autoregressive) • GMM (generalized method of moments) • Simulation and if time permits, some of the following topics are selectively covered • Simultaneous equations • Switching models • Panel data • Limited dependent variable models
Textbooks Main textbook: Brooks (2008) , and the companion website. Secondary textbook: Lecture notes (To be published) Suggested reading: L¨utkepohl (2004) and Chan (2002). Data exchange site: ftp://210.34.5.125:7755 Homework and Exam There will be assignment, case and Exams • Homework: Your homework can be work in groups, must reflect your understanding of the material. Each student must turn in separately • Case study: You will be required to turn in one class project/paper. The topics will be taken from the textbook’s examples and associated exercises, or from suggested readings • Exam: There will be mid and final exams. Both exams will be comprehensive
Grading Policy The distribution of course credit is as follows Item Attendance Homework Midterm Final exam Case study
Points 5 20 25 30 20
Date
Type individual individual/group individual individual individual/group
Assignments are due at the beginning of class on the due date. Assignments turned in late will be penalized 50%. Some projects are group based, the members share the same grade. Course attendance is mandatory, and 3 times or more of absence will fail. Cheating, in any form, degrades the worth of every degree conferred by WISE, and will not be tolerated.
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References Bodie, Zvi and Robert C Merton, 1999. Finance. Prentice Hall, New York Bodie, Zvi, Alex Kane, and Alan J. Marcus, 2008. Investments, 8/e. McGraw-Hill/Irwin, New York Brealey, Richard A., Stewart C. Myers, and Franklin Allen, 2008. Principles of Corporate Finance, 9/e. McGraw Hill, New York Brooks, Chris, 2008. Introductory Econometrics for Finance, 2/e. Cambridge University Press, New York Chan, Ngai Hang, 2002. Time Series: Applications to Finance. Wiley-Interscience, New York Hull, John C., 2006. Options, Futures and Other Derivatives, 6/e. Prentice Hall, Upper Saddle River, NJ L¨utkepohl, Helmut, 2004. Applied Time Series Econometrics. Cambridge University Press, New York Stock, James H. and Mark W. Watson, 2006. Introduction to Econometrics, 2/e. Addison Wesley, New York Wooldridge, Jeffrey M., 2003. Introductory Econometrics: A Modern Approach, 2/e. Southwestern/Thomson Learning, Mason, Ohio
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