Financial Econometrics

 

Instructor:

Kashif Saleem, Ph.D, Visiting Lecturer
University of Wollongong in Dubai (UOWD)

Workload:

6 ECTS,

45 contact hours

Prerequisites:

Quantitative Methods in Finance

Goals and objectives:

The goal of the course Financial Econometrics is to deepen 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 its assumptions and how to deal with the violations of the assumptions of CLRM and their diagnostics, single factor models, such as CAPM, multifactor models, for example (APT), univariate and multivariate time series analyses, modelling volatility and correlation, GARCH family 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:

lectures, computer labs, term paper writing and presenting, class quizzes and home assignments

Teaching Methods:

Topic 1. Introduction to econometrics AND Single factor models
Topic 2. Multi factor models
Topic 3. Diagnostic tests
Topic 4. Univariate Time series models
Topic 5. Multivariate Time series models
Topic 6. Modelling long-run relationships in finance
Topic 7. Modelling volatility and correlation

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

Final Exam:

Length: 90 Minutes
Format: In class, closed book

Grading Policy:

Home assignments            10%
Class short quizzes            15%
Term paper writing            15%
Term paper presentation     10%
Final exam                      50%

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