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: DT73@TOM.COM
Web: http://—
Teaching Assistant
CAO Nan, NANC1985@GMAIL.COM
GUO Xun, GUOXUN1984@163.COM
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)
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• 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: Lütkepohl (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
Lütkepohl, 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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