Econometrics 609
Financial Econometrics 609
SYLLABUS
Prof. Nourah Yousef
Second Term, 2021 Wednesday 1:00pm – 4.0 0pm
Office Hours: from 1-3 Weekdays,
Email: Nayousef@ksu.edu.sa
Course description: Econometric and statistical methods as applied to finance. Topics include: introduction to the properties of financial asset returns, univariate time series modeling and forecasting, multivariate time series, stationarity and unit root testing, switching models, panel data, models, , conducting empirical finance research.
Objectives and Learning Outcomes
• To extend students’ knowledge and equip them with methods and techniques that allows them to understand and analyze quantitatively and econometrically finance-related issues and problems.
• To sharpen students’ tools of analysis and to equip them with appropriate tools to conduct original research in finance.
• By the end of this course students will be able to:
1. Review methods of conventional econometric modeling in the context of financial market data and evaluate their results through appropriate diagnostic testing procedures
2. Formulate econometric models suitable for financial analysis, select appropriate methods of estimation and interpret the obtained results.
3. Understand ARCH and GARCH models and be able to apply them to financial time series which display volatility
4. Vector Autoregressive (VAR) models in finance and interpret the results
5. Cointegration and long term relationships in Financial market data
6. Panel models