• A
• A
• A
• ABC
• ABC
• ABC
• А
• А
• А
• А
• А
Regular version of the site

Financial Econometrics

2021/2022
ENG
Instruction in English
5
ECTS credits
Course type:
Elective course
When:
4 year, 1 module

Course Syllabus

Abstract

The course is designed to introduce the various spectrum of quantitative financial econometrics. It discusses about some of the important contemporary statistical methods and its practical applications in the field of finance. The course starts with the basic concepts such as random walk hypothesis and progresses towards the advanced topics such as Simultaneous Equations Models, Copula and Wavelets. After mastering this course, the students will gain substantial knowledge about the financial econometrics and will be able to apply the models in solving real life problems in finance. Successful completion of the course will make them ready for the job market as well as for rigorous research in finance.

Learning Objectives

• The students will gain substantial knowledge about the financial econometrics and will be able to apply the same in solving real life problems in finance. Successful completion of the course will make them ready for the job market.

Expected Learning Outcomes

• Understand the principles of financial econometrics and its methodology
• Know the tools of financial econometrics
• Understand and be able to implement the correct econometric models for each financial problem

Course Contents

• Random Walk Hypothesis
• Efficient Frontier
• Introduction to Asset Pricing Models
• Risk Analysis
• Portfolio Optimisation
• System Estimation by Instrumental Variables

Assessment Elements

• In-class participations
• Individual/group project
• Final exam
Here are the instructions for your upcoming End term exam on Financial Econometrics. Medium: Via LMS Type of Exam: Open Book (Part A) and S/W Execution based (Part B) Total Marks: 55 (Part A: 35 and Part B: 20) Number of Questions: Part A: Seven Questions… Part B: Problem statement & Dataset Allowed: Both online and offline resources…You may refer all available resources Not Allowed: Late Submission; Copy and Paste (Similarly above 15 %) Exam Execution Details: Step 1: Part A: Questions will be uploaded in the LMS and Part B: Dataset will be send to your mail at the end of the day June 11, 2020 around 23:59 PM Step 2: You will have full day to answer the questions(Part A & B) on 12/06/2020 and … deadline for submission of the question answers(Part A & B) will be by the end of the same day in PDF format via LMS : 12/06/2020; 23:59:59 Hours SPB Time.

Interim Assessment

• 2021/2022 1st module
0.3 * Individual/group project + 0.3 * In-class participations + 0.4 * Final exam

Recommended Core Bibliography

• An introduction to trading in the financial markets: market basics, Williams, R.T., 2011
• Gregory-Williams, J., & Williams, B. (2004). Trading Chaos : Maximize Profits with Proven Technical Techniques: Vol. 2nd ed. Wiley.
• Handbook of financial econometrics : Volume 1-2. v. 1: Tools and techniques, ,
• Handbook of financial econometrics : Volume 1-2. v. 2 : Applications, ,