Financial Econometrics

Instructor:

Kashif Saleem, Ph.D,

Lappeenranta University of Technology School of Business

 

Workload:

6,0 ECTS

45 contact hours; 150 student work hours

 

Prerequisites:

Quantitative Methods of Business Research

 

Goals and objectives:

 

The course Financial Econometrics deepens students’ knowledge on empirical research methods in financial econometrics. The focus is on the empirical techniques used most often in the analysis of financial markets and how they are applied to actual market data

 

The course covers different areas of econometrics for example, classical linear regression model their assumptions and violations of CLRM and their diagnostics,  univariate and multivariate time series analyses, modelling volatility and correlation, GARCH family models, Regime switching models and modelling long-run relationships in financial markets. Empirical exercises using E-views is an integral part of the course ensuring that the students acquire skills and gain experience of data analysis in solving business and management problems.

 

It is expected that by the end of the course the students will be able to:

 

  • Conduct empirical tests on market efficiency
  • Test asset pricing models
  • Model time series by using ARMA process
  • Model volatility by using GARCH family models
  • Conduct correlation and co–integration analysis

 

Course Content:

 

 

Topic 1. Introduction AND a brief overview of the classical linear regression model

Topic 2. CLRM assumptions and diagnostic tests

Topic 3. Univariate time series modeling and forecasting

Topic 4. Multivariate time series models

Topic 5. Modeling long-run relationships in finance

Topic 6. Modeling volatility and correlation

Topic 7. Markov regime switching models

 

Course Reading:

Required reading:

Brooks, Chris: Introductory econometrics for finance. Cambridge, 2002 or newer 

 

Optional reading:

Tsay, Ruey S.: Analysis of Financial Time Series. Wiley, 2002 or newer

 

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