Financial Econometrics: Econ 609
Financial Econometrics: Econ 609 PhD in Business Administration
This course intended for PhD students in Economics. The aim of this course is to provide the fundamental methods of advanced econometric modeling necessary de conduct empirical research. Financial Econometrics (Econ 609) will be an intensive course in Econometric Analysis of Financial Markets. The course topics will be mainly devoted to review the appropriate econometric models suitable for and financial theory as well as conducting empirical applications for selected problems using econometrics software. This course covers the core topics of financial data analysis and modelling such as times series modeling and forecasting, Vector Autoregressive Models and Grange Causality, Cointegration and long-run dynamics and Volatility Modelling and Conational Correlation.
The main objectives of this course is:
- Allow students to be familiar with methods of advanced econometric modeling.
- Formulate econometric models suitable for financial analysis.
- Understand the principles of parametric econometric modeling of financial time series.
- Evaluate the ability of econometric models to forecast financial variables.
- Outline the usefulness of multivariate volatility models in making optimal portfolio allocation decisions.
- Show students how combining econometric methodologies and financial theory.
- Help students do apply scientific research.
Course Learning Outcomes
On successful completion of this course, students will be expected to demonstrate their abilities to:
- Recognize the concepts of theoretical and applied financial econometrics.
- State econometric procedures for financial analysis.
- Provide econometric modeling techniques and diagnostic testing procedures.
- Design econometric models appropriate for financial analysis.
- Develop suitable econometric procedures and interpret the findings.
- Understand the principles of econometric modeling for forecasting financial time series.
- Assess financial time series through econometric analysis.
- Demonstrate great knowledge in dealing with statistical and econometric software.
- Interpret effectively the results output.
- Justify the argument through economic and financial reasoning.
- Conduct empirical research and studies.