Financial Econometrics (Juan Yang)
Spring,2012, 4th module
Instructor: Dr. Juan Yang eEmail: yangjuan@szpku.edu.cn | |
Office Hour
Monday and Thursday 2:00 – 4:00 pm, or by appointment. Open door policy.
Objectives
The purpose of this course is two folds. The first is to teach students time series
econometrics so that they can better understand the existing research papers in the area of
macroeconomics and finance. The second is to help students to start their own time series
analyses by using the skills obtained in this course. The topics in the course include single
equation times series model, and multiequation time series
models (VAR and ECM). Much emphasis of the course will be placed on the applications of the
time series skills to the analyses of certain empirical macroeconomic and financial questions.
Process
The primary purpose of the classroom presentation and discussion will be to explain the basic theory and concepts. Many of the detailed "facts" will be learned through working the homework problems. You will need to become familiar with new terminology and principles as well as the logic and process of time series analyses. Assigned homework will help students develop their own thought processes when addressing financial and macroeconomic problems in the "real world.
Prerequisites
Consulting an intermediate level econometrics textbook, such as:
1. Introductory Econometrics: A Modern Approach (4th edition), Jefferey M. Wooldridge, Thomson, South-Western
2. Econometric Analysis (7th edition), William H. Greene, Prentice Hall
Students are assumed to be familiar with the basic concepts of econometrics (t-test, mean square error, significance level, unbiased estimates etc).
Grading
Grades will be assigned on the basis of student performance and weighted as follows:
Assignments | 40 percent |
Project | 20 percent |
Exam (Final, open book) | 40 percent |
Total | 100 percent |
Textbook
Applied Econometric Time Series (2nd edition), Walter Enders, Wiley Series in Probability and Statistics
Course Outline
1. Introduction
2. Stationary Times-Series Models
3. Modeling Volatility
4. Mutiequation Time Series Models
5. Cointegration and Error-Correction Models
Student Responsibilities
Critical thinking: to think critically and independently. Teacher and book might be wrong. Doubt authority, find question and start to improve your thinking ability.
Prepare for class: Reading happens before coming to class, not after. Class serves to structure, discuss and summarize the material. It is a complement, not a substitute to reading the material.
Keep time: Be punctual; you must stick to the class schedule and deadlines.