COURSE INFORMATION FOR CURRENT
SEMESTER/TERM
Academic Year
2012/2013
Semester/Term
II
Course Code
ESGC6328
Course Title
APPLIED FINANCIAL ECONOMETRICS
Credit
3
Medium of Instruction
ENGLISH
Course Pre-requisite(s)/
Minimum Requirement(s)
NONE
Main Reference
1) K.L.Kok and K.L. Goh, Malaysian Securities Market: Indicator, Risk,
Return, Efficiency and Inter-market Dependence, Pelanduk
Publications, 1995.
2) W. Enders, Applied Econometric Time Series, John Wiley, 1995.
3) J. Campbell, A.W. Lo and A.C. MacKinlay, The Econometrics of
Financial Markets, Princeton University Press, 1997.
4) Chris Brooks, Introductory Econometrics to Finance, Cambridge Univ
Press, 2002.
5) Ruey Tsay, Analysis of financial time series, Wiley, 2005.
6) Peter J. Brockwell , Richard A. Davis, Introduction to Time Series
and Forecasting, Springer, 2002.
7) Devi Prasad, Introduction to numerical analysis, Alpha Science,
2003.
Teaching Materials/
Equipment
Reference books, lecture notes, statistical software, journal articles
Learning Strategies
Refer to Course Pro Forma (Form 7)
Student Learning Time
128 hours
Face to face: 42
Guided learning: 40
Independent learning: 43
Assessment: 3
(Refer to Form 6: Student Learning Time)
Soft Skills
Communication Skills, Critical Thinking and Problem Solving Skills, Life Long
Learning and Information Management
Lecturer
Room
Telephone/e-mail
Dr. Chin Wen Cheong
03-83125249
wcchin@mmu.edu.my
Lecture Session:
Day/Time
Venue
Friday/6.15 – 9.15pm
Utility Computer Lab
Tutorial/Practical Session:
Day/Time
Venue
Important Dates
Test : 19 April 2013
Examination : 14 June 2013
UM-PT01-PK03-BR004(BI)-S03
1
COURSE INFORMATION FOR CURRENT
SEMESTER/TERM
Teaching Schedule
Week
Lecture/Tutorial/Assignment Topic
References/Teaching
Materials/Equipment
1.
-Asset index level, return and volatility
-Empirical stylized facts
Tsay (2005) Chap 2.
Journal articles
2.
-Random walk
-ARMA: Stationarity, causality, invertibility
-Solve difference equation
Brockwell and Davis
(2002) Chap 2 & 3
3.
-Random walk
-ARMA: Stationarity, causality, invertibility
-Solve difference equation
Brockwell and Davis
(2002) Chap 2 & 3
4.
Computational analysis
-Fundamental of numerical analysis
-Model specification, estimation and forecasting.
Devi Prasad (2003) Chap
2
Brockwell and Davis
(2002) Chap 2 & 3
5.
Computational analysis
-Fundamental of numerical analysis
-Model specification, estimation and forecasting.
Devi Prasad (2003) Chap
2
Brockwell and Davis
(2002) Chap 2 & 3
6.
Variations of autoregressive conditional heterosecedasticity
models
Tsay (2005) Chap 2.
Journal articles
7.
Variations of autoregressive conditional heterosecedasticity
models
Tsay (2005) Chap 2.
Journal articles
8.
Case Study 1 : -Efficient market hypothesis: past, present and
future.
Campbell, A.W. Lo and
A.C. MacKinlay (1997)
Journal articles
Case Study 2: The impact of subprime mortgage crisis to longrun and short-run volatility components of Indonesia and
Malaysian equity markets
Tsay (2005) Chap 2.
Journal articles
10.
Case Study 3: Nonlinear dynamics in stock exchange: evidence
from KLSE
Journal articles
11.
Case Study 4: Does volatility power transformation really matter
in Hang Seng stock market forecasts?
Journal articles
12.
Case Study 5: Univariate and multivariate value-at-risk:
Application and implication in energy markets
Journal articles
13.
Case Study 6: The S&P500 return volatility forecast using
nonparametric high frequency volatility proxies
Journal articles
14.
Revisions
9.
UM-PT01-PK03-BR004(BI)-S03
2