29:390:300 (Section B7) Financial Econometrics Summer 2015 Newark, 1 Washington Park, Room 408 Tuesdays & Thursdays 6:00pm-­‐9:30pm Instructor: Oliver Alber Newark, 1WP, Office 1115F oa161@ rutgers.edu Thursdays 3:30pm-­‐5:30pm Course Description The most basic meaning of the word econometrics is ‘measurement in economics’. Its origins come from economics, but the techniques used for economics are equally important for finance. In general, financial econometrics can be defined as the application of statistical techniques in finance. With these techniques we can test theories, determine asset prices or returns, test hypotheses, investigate the effect on financial markets of changes in economic conditions, and forecast financial variables. Course Materials Textbook: Author Jeffrey M. Wooldridge Book Introductory Econometrics (A Modern Approach)-­‐ 5th edition Year 2013 Publisher South-­‐Western, Cengage Learning ISBN-­‐10 1-­‐111-­‐53104-­‐8 Blackboard blackboard.rutgers.edu Software The student has the choice of using either R or Microsoft Excel Prerequisites 21:220:231, or 21:640:211, or 01:960:285 Academic Conduct All students are expected to know, understand and live up to the standards of Rutgers University Academic Integrity Policy (http://academicintegrity.rutgers.edu/files/documents/AI_Policy_2013.pdf). Don’t ruin you career and opportunity to learn with cheating. Also see business.rutgers.edu/ai for more information. Attendance and Participation Attendance is not taken in this class. However, performing well in the course and attending the classes are strongly related. In case of any absences, students will be responsible for missed work. Grading and Exams The course will consist of one midterm, practice problems, and a final. For each of these graded items a score between 0-­‐100 can be achieved. The final grade will be a weighted average of the three items. The ideal way to learn is through practice problems. Every Thursday, a set of practice problems will be handed out. These consist of computer exercises and theoretical exercises. The student has one week to complete the practice problems, and has to turn them in at the end of next Thursday’s class. Understanding the practice problems and spending enough time on them will prepare the student well for the midterm and the final exam. The practice problems have to be hard-­‐copy, and the solutions should be well traceable and readable for the grader. The score of the worst set of practice problems will be dropped. No make-­‐up practice problems are possible. In case of late submission or no submission, the student automatically receives a score of zero. The midterm exam is scheduled for June, 11, 2015, during regular class hours. The exam is closed book with problems and multiple-­‐choice questions. Students have 1.5 hours to complete the midterm. The material covered is as follows, but this may change depending on how far the lectures progress: -­‐Appendix A, B, C -­‐Chapter 2 -­‐Chapter 3 -­‐Appendix D, E There will be no make-­‐up midterm exams. If the exam is missed, a score of zero will be received. Allowed materials for the exam: pencils, pens, erasers, calculator, and RUID card. The student will be randomly assigned a seat. The Final Exam will be held sometime between June 30 and July 2, 2015. Students have two hours to complete the final. The structure and format will be similar to the midterm exam. The tentative topics are as follows: -­‐Chapter 4 -­‐Chapter 5 -­‐Chapter 6 -­‐Chapter 7 -­‐Parts of Chapter 8 & Chapter 10 & Chapter 11 (if the topics were covered in time, unlikely) There will be no make-­‐up final exam. If the final is missed, the student will receive a score of zero. Allowed materials for the exam: pencils, pens, erasers, calculator, and RUID card. The student will be randomly assigned a seat. Grade Distribution: Practice Problems 25% Midterm Exam 30% Final Exam 45% Note that there are no opportunities for extra credit in this class. Grade Allocation: A 90-­‐100 B+ 87-­‐89 B 80-­‐86 C+ 77-­‐79 C 70-­‐76 D 60-­‐69 F 0-­‐59 All scores received in this course will be added to the grade center on Blackboard. Partial or final scores cannot be negotiated. If the student feels that the instructor made an error, a written argument and correction should be submitted within a week of receiving the grade. If the instructor/grader made an error, the grade will be adjusted. Schedule and Topics Classes will be held every Tuesday and Thursday from 6:00 pm to 9:30 pm in room 408, 1 Washington Park, Newark. Classes start on Tuesday, May 26, 2015. Tentative list of topics: Appendix A, B, C: A Brief Review of Basic Calculus, Probability, and Statistics Chapter 2: The Simple Linear Regression Chapter 3: Multiple Linear Regression: Estimation Appendix D, E: Basic Overview of Matrices, Matrix Regression Form Chapter 4: Multiple Linear Regression: Inference Chapter 5: Multiple Linear Regression: Further Issues Chapter 6: Further Issues with Multiple Linear Regression Chapter 7: Dummy Variables Chapter 8: Heteroskedacity (tentative) Chapter 10: Regression with Time Series Data (tentative) Chapter 11: OLS with Time Series Data (tentative) Support Services If the student needs accommodation for a disability, he/she has to obtain a Letter of Accommodation from the Office of Disability Services. The Office of Disability Services at Rutgers provides student-­‐centered and student-­‐inclusive programming in compliance with the American with Disabilities Act of 1990, the Americans with Disabilities Act Amendments of 2008, Section 504 of the Rehabilitation Act of 1973, Section 508 of the Rehabilitation Act of 1998, and the New Jersey Law against Discrimination. (https://ods.rutgers.edu) If the student is a military veteran or on active military duty, he/she can obtain support through the Office of Veteran and Military Programs and Services. (http://veterans.rutgers.edu) If the student is in need of mental health services, there are readily available services at Rutgers-­‐Newark Counseling Center. (http://counseling.newark.rutgers.edu) If the student is in need of legal services: (http://rusls.rutgers.edu) If the student is in need of physical health services, there are readily available services at the Rutgers Health Services Newark. (http://health.newark.rutgers.edu) If additional academic assistance is needed, the following can be used: -­‐Rutgers University-­‐Newark Learning Center: (http://www.ncas.rutgers.edu/rlc) -­‐Rutgers University-­‐Newark Writing Center: (http://www.ncas.rutgers.edu/writingcenter) Feedback is always welcome! Good Luck!