Welcome to the ECOFMET Webpage!
Basic information
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 last Term 3 AY 2023-2024 (a year ago). At that time, I covered the main object of financial econometrics – returns – from a descriptive and predictive point of view. Next, I covered risk management using value-at-risk. Finally, I also covered how what was learned in an introductory econometrics course has to change in light of financial data. The content may change for this year.
Course description
NOTE: This description is the official course description which I cannot alter even as an instructor.
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).
COMMENT: It is impossible to finish this within 12 weeks, so I have to make choices.