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Current status

This is a course in financial econometrics for undergraduates and delivered in a hybrid mode. The prerequisite is an introductory econometrics course.

I last taught this course during Term 3 of AY 2023-2024 and AY 2024-2025.

1. At these times, I covered the main object of financial econometrics – returns – from a descriptive and predictive point of view.
2. I reviewed probability, statistics, and introductory econometrics in light of this new object of analysis. I also covered how what was learned in an introductory econometrics course has to change in light of financial data.
3. Finally, I covered GARCH models and risk management using value-at-risk.

The course diary for Term 3 AY 2023-2024 can be found here.

The materials for Term 3 AY 2024-2025, in combination with the course diary for Term 3 AY 2023-2024 were extended into a workbook used for internal purposes and a grant application has been made for this workbook.

Official course description

Within the context of financial economic theory, this course combines interesting and rigorous elements of microeconometrics and time series econometrics. The microeconometrics component consists of estimation and testing frameworks used in understanding individual behavior. Topics include selected models for cross-section data (e.g. discrete choice modeling, selection models, basic GMM estimation and testing frameworks for optimization-based problems, linear panel data models for financial and economic outcomes, etc). The time series econometrics component, which is appropriately called macroeconometrics, includes methods that are quite prominent in cyclical analysis (e.g. autoregressive and moving average models) as well as other time series models (vector autoregression models and their structural variants).